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Estimating a dynamic factor model in EViews using the Kalman filter and smoother
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics. Ministry of Finance, Sweden.
Ministry of Finance, Sweden.
2017 (English)Report (Other academic)
Abstract [en]

In this paper, we set up a dynamic factor model in EViews using only a small amount of programming. The model is particularly useful for nowcasting the economy, that is,forecasting of the very recent past, the present, or the very near future of economic activity.A subroutine that estimates the model is provided. In a simulation study, the precisionof the estimated factors are evaluated, and in an empirical example, the usefulness of themodel is illustrated.

Place, publisher, year, edition, pages
Uppsala: Uppsala University, 2017. , 34 p.
Series
Working paper / Department of Statistics, Uppsala University, 2017:2
Keyword [en]
dynamic factor model, state space, kalman filter, EViews
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:uu:diva-320884OAI: oai:DiVA.org:uu-320884DiVA: diva2:1091335
Available from: 2017-04-26 Created: 2017-04-26 Last updated: 2017-04-27Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
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  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf