Dynamic factor

In econometrics, a dynamic factor (also known as a diffusion index) is a series which measures the co-movement of many time series. It is used in certain macroeconomic models.

Formally

where $F_{t}=(f^{\top}_{t},\dots,f^{\top}_{t-q})$ is the vector of lagged factors of the variables in the $T \times N$ matrix $X_{t}$ (T is the number of observations and N is the number of variables), $\Lambda_{t}$ are the factor loadings, and $e_{t}$ is the factor error.

单词	Dynamic factor
释义	Dynamic factor 英语百科 Dynamic factor In econometrics, a dynamic factor (also known as a diffusion index) is a series which measures the co-movement of many time series. It is used in certain macroeconomic models. Formally where $F_{t}=(f^{\top}_{t},\dots,f^{\top}_{t-q})$ is the vector of lagged factors of the variables in the $T \times N$ matrix $X_{t}$ (T is the number of observations and N is the number of variables), $\Lambda_{t}$ are the factor loadings, and $e_{t}$ is the factor error.
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