Regression modelForecasting
动态因子模型
动态因子模型（DFM）从大量经济时间序列数据中提取少数潜在的共同因子，并利用这些因子来预测或即时预测目标变量。该模型由James Stock和Mark Watson在他们2002年发表于《Journal of Business & Economic Statistics》的论文中正式化，用于宏观经济预测，DFM可以同时处理数百个指标，同时避免了传统多元模型所困扰的维度灾难。
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来源
- Stock, J. H., & Watson, M. W. (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business & Economic Statistics, 20(2), 147–162. DOI: 10.1198/073500102317351921 ↗
如何引用本页
ScholarGate. (2026, June 2). Dynamic Factor Models (Nowcasting). ScholarGate. https://scholargate.app/zh/econometrics/dynamic-factor-model
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