Modelling, forecasting, and control for econometrics based on generalized dynamic factor models: a system theoretic approach

The project will develop techniques, using especially tools of linear system theory, for the construction of econometric models of national economies, termed generalized dynamic factor models, based on large numbers of different econometric time series. The models explain behavior in terms of a small number of underlying factor variables, together with noise. The models also can be used to forecast. Theoretical developments will include the ability to build models using time series with different periodicities, e.g. quarterly and monthly and to engage in short-term forecasting.