Dynamic factor (original) (raw)

In econometrics, a dynamic factor (also known as a diffusion index) is a series which measures the of many time series. It is used in certain macroeconomic models. A diffusion index is intended to indicate * the changes of the fraction of economic data time series which increase or decrease over the selected time interval, * an increase or decrease in future economic activity, * provide some correlation to the business sentiment of companies. Formally