nep-hrm New Economics Papers
on Human Capital and Human Resource Management
Issue of 2012‒02‒15
one paper chosen by
Tommaso Reggiani
Universita' di Bologna

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

  1. 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

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