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st: Factor models


From   kokootchke <kokootchke@hotmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Factor models
Date   Fri, 24 Jul 2009 19:47:31 -0400

Hi everyone.

I would like to know if anyone could provide some references to factor models (latent factor models, dynamic factor models, etc.). 

I am studying the effects of domestic macroeconomic variables vs. global economic conditions on bond spreads and I believe that I could use factor models to improve my analyses. 

I have never used these models before and have found some papers by Stock and Watson, Lippi et al., etc... which are useful... but I would like to read something a bit easier to get my feet wet, and then start building up from there. 

Thank you very much!

Best regards,
Adrian

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