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

澳大利亚经济周期的多变量动态因素模型：规范、估计和实证结果。该项目旨在通过为澳大利亚开发一类通用的动态因素模型，极大地扩展现有的国内和国际商业周期模型。该项目通过解决现有各类动态因素模型普遍存在的棘手问题，为商业周期建模作出了重大贡献。一项关键的创新是开发了一种基于模拟的估计器，以绕过与现有估计器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。

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.