Identification of causal factor models of stationary time series

DOI10.1111/j.1368-423X.2004.00146.xzbMath1114.91351MaRDI QIDQ3023042

Chris Heaton, Victor Solo

Publication date: 4 July 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

dynamic factor analysisfrequency domain models

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type ⋮ Simulation smoothing for state-space models: a computational efficiency analysis ⋮ Principal components estimation and identification of static factors ⋮ A spectral EM algorithm for dynamic factor models ⋮ Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap

Cites Work

• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• Dynamic linear models with Markov-switching
• Autocovariance Structure of Markov Regime Switching Models and Model Selection
• Testing the rank of the Hankel covariance matrix: a statistical approach
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