Editorial. Factor structures for panel and multivariate time series data

DOI10.1016/J.JECONOM.2010.11.001MaRDI QIDQ737935zbMATH OpenOpenAlexFDO

Authors

Publication date 12 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.11.001

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings of conferences of miscellaneous specific interest (00B25)

Recommendations

• Innovations in multiple time series analysis
• Time series in high dimensions. The general dynamic factor model
• Fitting dynamic factor models to non-stationary time series
• Special issue on time series econometrics
• Dynamic factors in the presence of block structure

Cites work

• A PANIC attack on unit roots and cointegration.
• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Dynamic factor models
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Forecasting in dynamic factor models subject to structural instability
• Inferential Theory for Factor Models of Large Dimensions
• Weak and strong cross-section dependence and estimation of large panels

Cited in

(2)

• Editorial: Celebrating 40 years of panel data analysis: past, present and future
• Stratified factor model for factor analysis of multi-index panel data and its application

This page was built for publication: Editorial. Factor structures for panel and multivariate time series data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q737935)