Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem
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DOI: 10.1016/j.jeconom.2015.10.010
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- Simon Beyeler & Sylvia Kaufmann, 2019. "Factor augmented VAR revisited - A sparse dynamic factor model approach," Working Papers 16.08R, Swiss National Bank, Study Center Gerzensee.
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- Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Papers 2112.11751, arXiv.org.
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- Sylvia Frühwirth-Schnatter & Darjus Hosszejni & Hedibert Freitas Lopes, 2023.
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- Sylvia Kaufmann & Markus Pape, 2025. "A geometric approach to factor model identification," Working Papers 24.06R, Swiss National Bank, Study Center Gerzensee.
- Kaufmann, Sylvia & Schumacher, Christian, 2019. "Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification," Journal of Econometrics, Elsevier, vol. 210(1), pages 116-134.
- Lin, L. & Fong, D.K.H., 2019. "Bayesian multidimensional scaling procedure with variable selection," Computational Statistics & Data Analysis, Elsevier, vol. 129(C), pages 1-13.
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More about this item
Keywords
Bayesian estimation; Factor models; Multimodality; Rotation problem; Ordering problem; Orthogonal transformation;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
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