A nonlinear dynamic factor model of health and medical treatment.
Sign Up to like & getrecommendations! Published in 2022 at "Health economics"
DOI: 10.1002/hec.4495
Abstract: Quantitative assessments of the relationship between health and medical treatment are of great importance to policy makers. To overcome endogeneity problems we formulate and estimate a tractable dynamic factor model where observed health outcomes are… read more here.
Keywords: health; model; health medical; medical treatment ... See more keywords
A robust procedure to build dynamic factor models with cluster structure
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2020.01.004
Abstract: Dynamic factor models provide a useful way to model large sets of time series. These data often have heterogeneity and cluster structure and the formulation and estimation of dynamic factor models should be adapted to… read more here.
Keywords: dynamic factor; factor models; series; cluster structure ... See more keywords
Early warning systems using dynamic factor models: An application to Asian economies
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Stability"
DOI: 10.1016/j.jfs.2021.100885
Abstract: Abstract This study develops an early warning system for financial crises with a focus on small open economies. We contribute to the literature by developing macro-financial dynamic factor models that extract useful information from a… read more here.
Keywords: warning systems; dynamic factor; factor models; early warning ... See more keywords
A Limited Information Estimator for Dynamic Factor Models
Sign Up to like & getrecommendations! Published in 2019 at "Multivariate Behavioral Research"
DOI: 10.1080/00273171.2018.1519406
Abstract: Abstract Structural equation modeling (SEM) is an increasingly popular method for examining multivariate time series data. As in cross-sectional data analysis, structural misspecification of time series models is inevitable, and further complicated by the fact… read more here.
Keywords: dynamic factor; factor models; estimator; limited information ... See more keywords