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首页> 外文期刊>International journal of forecasting >Discussion of 'Forecasting macroeconomic variables using collapsed dynamic factor analysis' by Falk Braeuning and Siem Jan Koopman
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Discussion of 'Forecasting macroeconomic variables using collapsed dynamic factor analysis' by Falk Braeuning and Siem Jan Koopman

机译：Falk Braeuning和Siem Jan Koopman对“使用崩溃的动态因素分析预测宏观经济变量”的讨论

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摘要

Factor models have become an important tool in the modern forecaster's toolkit. They provide a means of producing forecasts when the number of indicator series, N, exceeds the number of time series observations, T. A further perceived benefit is that they relieve the pressure on the forecaster to select the preferred indicator(s), and in turn indicator-based forecasting model, from a potentially large set. Various different factor models have been proposed, from principal components to parametric dynamic factor models and spectral density methods, with the applied literature tending to conclude that factor models are helpful for the production of short-term point forecasts.
机译：因子模型已成为现代预报员工具包中的重要工具。当指标序列数N超过时间序列观测值T时，它们提供了一种产生预测的方法。另一个可感知的好处是，它们减轻了预报员选择首选指标的压力，并且从潜在的大型集合转向基于指标的预测模型。已经提出了各种不同的因子模型，从主成分到参数动态因子模型和光谱密度方法，应用文献倾向于得出因子模型有助于短期预测的产生的结论。

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