  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.

Statistical Finance;Computational Physics;Data Analysis, Statistics and Probability;Physics and Society