An Introduction to Factor Modelling

Webinar session by Massimiliano Marcellino, Bocconi University.
In this seminar we will consider:
Small scale factor models: representation, estimation and
issues. Large scale factor models. Representation (exact/approximate, static/dynamic, parametric / non parametric)
Estimation: principal components, dynamic principal
components, maximum likelihood via Kalman Ölter, subspace
algorithms. Selection of the number of factors (informal methods and information criteria) Forecasting (direct / iterated). Structural analysis (FAVAR based). Useful references (surveys): Bai and Ng (2008), Stock and Watson (2006, 2011, 2015), Lutekpohl (2014).