Econometrics Seminar Series. Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering
Published: 23 October 2025
Professor Matteo Barigozzi. University of Bologna
Professor Matteo Barigozzi, University of Bologna
Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering
Friday, 24 October 2025, 15:00-16:30
Room 386, Adam Smith Business School
Abstract
This paper considers an approximate dynamic matrix factor model that accounts for the time series nature of the data by explicitly modelling the time evolution of the factors. We study estimation of the model parameters based on the Expectation Maximization (EM) algorithm, implemented jointly with the Kalman smoother which gives estimates of the factors. We establish the consistency of the estimated loadings and factor matrices as the sample size T and the matrix dimensions p1 and p2 diverge to infinity. We then illustrate two immediate extensions of this approach to: (a) the case of arbitrary patterns of missing data and (b) the presence of common stochastic trends. The finite sample properties of the estimators are assessed through a large simulation study and two applications on: (i) a financial dataset of volatility proxies and (ii) a macroeconomic dataset covering the main euro area countries. (co-author Luca Trapin)
Biography
Professor Barigozzi is a Full Professor of Econometrics and Political Economy in the Department of Economics at the Alma Mater Studiorum - Università di Bologna.
He was Associate Professor in Statistics in the Department of Statistics at the London School of Economics and Political Science (LSE) from 2017 to 2019. Before he was post-doc researcher at ECARES at the Université libre de Bruxelles from 2008 to 2010 and then Assistant Professor in Statistics at LSE Statistics from 2010 to 2016.
He received an MSc degree in Physics in 2002 from Università degli studi di Milano, a MSc in Mathematical Modelling in 2003 from UNESCO International Centre of Theoretical Physics (ICTP) in Trieste, and a PhD in Economics in 2008 from Scuola Superiore Sant’Anna in Pisa.
He has also been visiting at: Universidad Carlos III in Madrid, Columbia University in New York, Max Planck Institute in Jena, Universitat Pompeu Fabra in Barcelona, Princeton University, IHS in Vienna, Southwestern University of Finance and Economics in Chengdu, The Chinese University of Hong Kong, University of Pennsylvania in Philadelphia, Sciences Po in Paris, Federal Reserve Board of Governors in Washington, Università Bocconi in Milano, Cambridge University, Waseda University in Tokyo, CREST-ENSAE in Paris.
For further information, please contact business-school-research@glasgow.ac.uk
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First published: 23 October 2025
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