Michael Pfarrhofer
@mpfarrho.bsky.social
AP @wuvienna.bsky.social, Bayesian econometrics and empirical macroeconomics (monetary, business cycles, now/forecasting)
mpfarrho.github.io
mpfarrho.github.io
New working paper "A Bayesian Gaussian Process Dynamic Factor Model" with T. Chernis (BMA), N. Hauzenberger (Uni Strathclyde), and H. Mumtaz (QMUL): arxiv.org/abs/2509.04928
Proposes a dynamic factor model where the latent factors are linked to observed variables with unknown nonlinear functions.
Proposes a dynamic factor model where the latent factors are linked to observed variables with unknown nonlinear functions.
September 11, 2025 at 10:45 AM
New working paper "A Bayesian Gaussian Process Dynamic Factor Model" with T. Chernis (BMA), N. Hauzenberger (Uni Strathclyde), and H. Mumtaz (QMUL): arxiv.org/abs/2509.04928
Proposes a dynamic factor model where the latent factors are linked to observed variables with unknown nonlinear functions.
Proposes a dynamic factor model where the latent factors are linked to observed variables with unknown nonlinear functions.