Posted by Kelley MacEwen on 4/1/13 8:15 AM
Read more about me: Biography
Dynamic Factor Models are an extension of Factor Analysis techniques to dynamic regression models, in which a time-lagged version of the dependent variable is used as a covariate. Dynamic factors are used in time series models to measure co-movements in the independent variables. Last fall, the Econometrics Seminar Program hosted a talk on the subject, as many Summit professionals may benefit from using the technique in forecasting or analysis of multiple datasets. You can view our presentation for more information.