A random matrix approach to dynamic factors in macroeconomic data

被引：0
|
作者：
Snarska, M. [1 ,2 ]
机构：
[1] Marian Smoluchowski Institute, Physics and Mark Kac Complex Systems Research Centre, Jagiellonian University, Reymonta 4, 30-059 Kraków, Poland
[2] Cracow University of Economics, Department of Econometrics and Operations Research, Rakowicka 27, 31-510 Kraków, Poland
来源：
Acta Physica Polonica A | 2012年 / 121卷 / 2 B期
关键词：
Matrix algebra - Economics;
D O I：
10.12693/aphyspola.121.b-110
中图分类号：
学科分类号：
摘要：
We show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N=T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV).Application of these methods for macroeconomic indicators for Poland economy is also presented.
引用
收藏
相关论文
共 50 条
  • [1] A Random Matrix Approach to Dynamic Factors in Macroeconomic Data
    Snarska, M.
    [J]. ACTA PHYSICA POLONICA A, 2012, 121 (02) : B110 - B120
  • [2] Dynamic Factors of Macroeconomic Data
    Bolla, Marianna
    Kurdyukova, Anna
    [J]. ANNALS OF THE UNIVERSITY OF CRAIOVA-MATHEMATICS AND COMPUTER SCIENCE SERIES, 2010, 37 (04): : 18 - 28
  • [3] Random matrix approach to categorical data analysis
    Patil, Aashay
    Santhanam, M. S.
    [J]. PHYSICAL REVIEW E, 2015, 92 (03):
  • [4] Random matrix approach to cross correlations in financial data
    Plerou, V
    Gopikrishnan, P
    Rosenow, B
    Amaral, LAN
    Guhr, T
    Stanley, HE
    [J]. PHYSICAL REVIEW E, 2002, 65 (06): : 1 - 066126
  • [5] A matrix approach to modeling and optimization for dynamic games with random entrance
    Zhao, Guodong
    Wang, Yuzhen
    Li, Haitao
    [J]. APPLIED MATHEMATICS AND COMPUTATION, 2016, 290 : 9 - 20
  • [6] Transport Infrastructure and Macroeconomic Performance in European Countries Dynamic Panel Data Approach
    Chi, Junwook
    [J]. TRANSPORTATION RESEARCH RECORD, 2015, (2530) : 84 - 92
  • [7] Alternative Random Matrix Approach in Analysis of Correlations in Financial Data
    Sawa, M.
    Grech, D.
    [J]. ACTA PHYSICA POLONICA A, 2015, 127 (3A) : A118 - A122
  • [8] Level and volatility factors in macroeconomic data
    Gorodnichenko, Yuriy
    Ng, Serena
    [J]. JOURNAL OF MONETARY ECONOMICS, 2017, 91 : 52 - 68
  • [9] Macroeconomic factors and dynamic optimization of capital structure
    Xiaohua Sun
    Huiling Dong
    Bingbing Zhang
    [J]. Sixth Wuhan International Conference on E-Business, Vols 1-4: MANAGEMENT CHALLENGES IN A GLOBAL WORLD, 2007, : 1914 - 1919
  • [10] MACROECONOMIC THEORY - A DYNAMIC GENERAL EQUILIBRIUM APPROACH
    Bethmann, Dirk
    [J]. ECONOMIC ANALYSIS AND POLICY, 2010, 40 (01) : 116 - 117
12345