What are the differences between DFA (Dynamic factor analysis)and DFM(dynamic factor model)

19 views
Skip to first unread message

Win Sun

unread,
Aug 26, 2021, 11:42:06 PMAug 26
to pystatsmodels
Hi there,
I had reviewed several papers about DFA (Dynamic factor analysis)and DFM(dynamic factor model), and found that 
1. Environmental topics will use DFA (ex, Zuur, Estimating common trends in multivariate time series)
using dynamic factor analysis)
2. Economic topics will use DFM.

there is common trend. in DFA.
looks like the same as unobserved factors or coincident index in DFM

could anyone explain the differences? or they are the same model with different names?

Thanks a lot.








  

Reply all
Reply to author
Forward
0 new messages