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Journals / European Journal of Pure and Applied Mathematics (elektronik) / 2010 / Cilt: 3 - Sayı: 3

Diffusion index models and index proxies: recent results and new directions

Norman R. SWANSON
Nii Ayi ARMAH
Pages
478–501
Publication Date
2022-11-05
DOI
—
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We discuss, for example, the construction of factors used in prediction models implemented using diffusion index methodology and approaches that are useful for assessing whether there are observable variables that adequately “proxy” for estimated factors. 2000 Mathematics Subject Classifications: 62M10,62-07

📌 3 Key Takeaways

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Objective & Hypothesis:Diffusion index models have received considerable attention from both theoreticians and empirical econometricians in recent years.
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Key Findings & Data:In this paper we review some recent results in the study of diffusion index models, focusing primarily on advances due to [4, 5] and [1].
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Conclusion & Impact:We discuss, for example, the construction of factors used in prediction models implemented using diffusion index methodology and approaches that are useful for assessing whether there are observable variables that adequately “proxy” for estimated factors. 2000 Mathematics Subject Classifications: 62M10,62-07
🔬Design:Review & Systematic Survey
📍Scope:2000 Verileri
⚙️Variables:Domain Parameters

Abstract

Diffusion index models have received considerable attention from both theoreticians and empirical econometricians in recent years. One reason for this is that datasets with many variables are increasingly becoming available and being utilized for economic modelling, and another is that common factors are often assumed to underlie the co-movements of a set of macroeconomic variables. In this paper we review some recent results in the study of diffusion index models, focusing primarily on advances due to [4, 5] and [1]. We discuss, for example, the construction of factors used in prediction models implemented using diffusion index methodology and approaches that are useful for assessing whether there are observable variables that adequately “proxy” for estimated factors. 2000 Mathematics Subject Classifications: 62M10,62-07

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Cite This Article

SWANSON, N. R., ARMAH, N. A. (2022). Diffusion index models and index proxies: recent results and new directions. European Journal of Pure and Applied Mathematics (elektronik), Cilt: 3 - Sayı: 3, 478–501. https://ajindex.com/articles/650430

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