Dynamic Factor Models and Reduced Rank Regression in High-dimensional Time Series

• Activity Number: 408
• Type: Invited
• Date/Time: Tuesday, August 2, 2016 : 2:00 PM to 3:50 PM
• Sponsor: International Chinese Statistical Association
• Author(s): Tze Leung Lai* and Ka Wai Tsang and Hongsong Yuan
• Companies: Stanford University and The Chinese University of Hong Kong and Shanghai University of Finance and Economics
• Keywords: canonical correlation analysis ; dynamic factor models ; macroeconomic time series ; multivariate stochastic regression ; group orthogonal matching pursuit ; rank selection

Abstract

We give a brief review of dynamic factor models and their financial and econometric applications. We then describe new methods to address some long-standing difficulties in choosing the factors or more targeted predictors and modeling their dynamics in high-dimensional time series.