“…There are major disagreements among macroeconomists regarding tools to influence required outcomes. …”
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“…This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. …”
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“…Dynamic factor models (DFMs), which assume the existence of a small number of unobserved underlying factors common to a large number of variables, are very popular among empirical macroeconomists. Factors can be extracted using either nonparametric principal components or parametric Kalman filter and smoothing procedures, with the former being computationally simpler and robust against misspecification and the latter coping in a natural way with missing and mixed-frequency data, time-varying parameters, nonlinearities and non-stationarity, among many other stylized facts often observed in real systems of economic variables. …”
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