A Random Matrix Approach to Dynamic Factors in Macroeconomic Data |
| M. Snarska
Marian Smoluchowski Institute of Physics and Mark Kac Complex Systems Research Centre, Jagiellonian University, Reymonta 4, 30-059 Kraków, Poland and Cracow University of Economics, Department of Econometrics and Operations Research, Rakowicka 27, 31-510 Kraków, Poland |
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| 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. |
| DOI: 10.12693/APhysPolA.121.B-110 PACS numbers: 89.65.Gh, 02.50.Sk, 02.70.-c, 02.70.Uu |