Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
DOI10.1016/J.JECONOM.2017.04.002zbMATH Open1452.62633OpenAlexW1898037979MaRDI QIDQ2397725FDOQ2397725
Authors: Mario Forni, Marc Hallin, Marco Lippi, Paolo Zaffaroni 
Publication date: 23 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/70007
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Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (33)
- Generalized infinite factorization models
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Inferential theory for generalized dynamic factor models
- An Algebraic Estimator for Large Spectral Density Matrices
- Prediction of singular VARs and an application to generalized dynamic factor models
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
- Robust forecasting of multiple time series with one-sided dynamic principal components
- FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
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- The Generalized Dynamic Factor Model
- Factor models for high‐dimensional functional time series II: Estimation and forecasting
- D-CCA: A Decomposition-Based Canonical Correlation Analysis for High-Dimensional Datasets
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- Principal Component Analysis of High-Frequency Data
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- Factor and Idiosyncratic Empirical Processes
- Quantifying noise in survey expectations
- A forecasting performance comparison of dynamic factor models based on static and dynamic methods
- Time-varying general dynamic factor models and the measurement of financial connectedness
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