About: Dynamic factor

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In econometrics, a dynamic factor (also known as a diffusion index) is a series which measures the of many time series. It is used in certain macroeconomic models. A diffusion index is intended to indicate * the changes of the fraction of economic data time series which increase or decrease over the selected time interval, * an increase or decrease in future economic activity, * provide some correlation to the business sentiment of companies. Formally

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  • In econometrics, a dynamic factor (also known as a diffusion index) is a series which measures the of many time series. It is used in certain macroeconomic models. A diffusion index is intended to indicate * the changes of the fraction of economic data time series which increase or decrease over the selected time interval, * an increase or decrease in future economic activity, * provide some correlation to the business sentiment of companies. Formally where is the vector of lagged factors of the variables in the matrix (T is the number of observations and N is the number of variables), are the factor loadings, and is the factor error. (en)
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  • In econometrics, a dynamic factor (also known as a diffusion index) is a series which measures the of many time series. It is used in certain macroeconomic models. A diffusion index is intended to indicate * the changes of the fraction of economic data time series which increase or decrease over the selected time interval, * an increase or decrease in future economic activity, * provide some correlation to the business sentiment of companies. Formally (en)
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  • Dynamic factor (en)
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