Dynamic factor models with infinite-dimensional factor spaces: one-sided representations

DOI10.1016/j.jeconom.2013.10.017zbMath1331.62466OpenAlexW2008975375MaRDI QIDQ2343813

Marc Hallin, Mario Forni, Marco Lippi, Paolo Zaffaroni

Publication date: 6 May 2015

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

Full work available at URL: http://hdl.handle.net/11380/1073539

zbMATH Keywords

generalized dynamic factor modelsone-sided representations for dynamic factor modelsvector processes with singular spectral density

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (27)

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