https://github.com/quantecon/dynamic_factor_models

https://github.com/quantecon/dynamic_factor_models

Last synced: about 1 year ago
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• Host: GitHub
• URL: https://github.com/quantecon/dynamic_factor_models
• Owner: QuantEcon
• License: bsd-3-clause
• Created: 2018-07-10T03:28:20.000Z (almost 8 years ago)
• Default Branch: master
• Last Pushed: 2019-01-22T06:46:24.000Z (over 7 years ago)
• Last Synced: 2025-04-28T11:22:11.719Z (about 1 year ago)
• Language: Jupyter Notebook
• Size: 5.46 MB
• Stars: 39
• Watchers: 7
• Forks: 21
• Open Issues: 4
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Awesome Lists containing this project

README

          
# dynamic_factor_models

This is a respository for the project to replicate some results of dynamic factor models. Tentatively planned papers are

- [Stock, J. H., & Watson, M. W. (2016). Dynamic factor models, factor-augmented vector autoregressions, and structural vector autoregressions in macroeconomics. In Handbook of macroeconomics (Vol. 2, pp. 415-525). Elsevier.](https://www.sciencedirect.com/science/article/pii/S1574004816300027)

- [Barigozzi, M., Conti, A. M., & Luciani, M. (2014). Do euro area countries respond asymmetrically to the common monetary policy?. Oxford bulletin of economics and statistics, 76(5), 693-714.](https://onlinelibrary.wiley.com/doi/abs/10.1111/obes.12038)

- [Forni, M., & Gambetti, L. (2010). The dynamic effects of monetary policy: A structural factor model approach. Journal of Monetary Economics, 57(2), 203-216.](https://www.sciencedirect.com/science/article/pii/S0304393209001597)

**Any contribution would be appreciated!!**

- post issue if you find any error or if you want a new feature

- send pull request if you can contribute to the repository