Eintrag

IHS Seminar: Philipp Gersing

13. January 2020, 16:00 - 17:30, IHS, Josefstädter Straße 39, 1080 Vienna

A Gentle Introduction to Factor Models

Factor models became the dominant methodology for forecasting economic time series with high dimensional data. Several empirical studies suggest that a factor structure is present in large panels of macroeconomic time series. In my opinion there is a big deal of confusion about the different types of factor models that have been proposed and how they relate to each other: Dynamic vs. static, infinite vs finite dimensional factor spaces, approximate vs exact, etc.

The goal of this talk is to give a gentle introduction to factor models from a geometric point of view and to answer the following questions:

  1. Which types of factor models are out there?
  2. How do they relate to each other?
  3. Why are factormodels so successful in forecasting?
  4. How are they used for forecasting macroeconomic variables (GDP-growth, inflation, unemployment, etc.)?

Please register at event(at)ihs.ac.at.