关键词: 动态因子模型, 估计, 经济活动监测预警, 结构分析

Abstract: The basic function of Dynamic Factor Model is to reduce the dimension of high dimensional data, that is, to extract information of the co-movement among economic variables from high dimensional dataset. In theory, this paper runs through the development course and frontiers of DFM systematically, including the model setting, estimation methods and structured modeling technology. In application, this paper summarizes the use of DFM in forecast, construction of business cycle indicators and inflation index and structural analysis. At last, this paper summarizes the research context and the direction of future development of DFM analysis.

Key words: Dynamic Factor Model, Estimation, Economic Activity Monitoring and Early Warning, Structural Analysis