A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results

澳大利亚商业周期的多元动态因子模型：规范、估计和实证结果

• 批准号: ARC : DP0208669
• 负责人: Dr David Harris
• 金额: $ 10.6万
• 依托单位: The University of Melbourne
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2002
• 资助国家: 澳大利亚
• 起止时间: 2002-01-01 至 2005-12-31
• 项目状态: 已结题
• 来源: https://researchdata.edu.au/a-multivariate-dynamic-empirical-results/64112
• 关键词: Multivariate; Dynamic; Factor; Model; Australian

A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results. The project aims to extend greatly existing models of national and international business cycles by developing a general class of dynamic factor models for Australia. The project provides a significant contribution to business cycle modelling by solving the intractability problems common to existing classes of dynamic factor models. A key innovation is the development of a simulation based estimator to circumvent the statistical and computational problems associated with existing estimators. The expected outcome of the project will be a more reliable way to monitor the phases of the cycle and forecast turning points, which will be of substantial national benefit.

澳大利亚商业周期的多元动态因素模型：规范、估计和实证结果。该项目旨在通过为澳大利亚开发一个通用的动态因素模型，大大扩展现有的国家和国际商业周期模型。该项目提供了一个显着的贡献，商业周期建模解决了棘手的问题，共同现有的动态因素模型类。一个关键的创新是开发一个基于模拟的估计，以规避与现有的估计相关的统计和计算问题。该项目的预期成果将是监测周期各阶段和预测转折点的一种更可靠的方式，这将给国家带来重大利益。