nep-cse 2012-02-15 papers

on Economics of Strategic Management

Issue of 2012‒02‒15
one paper chosen by
Joao Jose de Matos Ferreira
University of the Beira Interior

A Random Matrix Approach to Dynamic Factors in macroeconomic data By Ma{\l}gorzata Snarska

A Random Matrix Approach to Dynamic Factors in macroeconomic data

By:	Ma{\l}gorzata Snarska
Abstract:	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.
Date:	2012–01
URL:	http://d.repec.org/n?u=RePEc:arx:papers:1201.6544&r=cse

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