Dynamic factor models with infinite-dimensional factor space: asymptotic analysis

DOI10.1016/j.jeconom.2017.04.002zbMath1452.62633OpenAlexW1898037979MaRDI QIDQ2397725

Mario Forni, Paolo Zaffaroni, Marco Lippi, Marc Hallin

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

zbMATH Keywords

high-dimensional time seriesgeneralized dynamic factor modelsvector processes with singular spectral densityconsistency and ratesone-sided representations of dynamic factor models

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) Inference from stochastic processes and spectral analysis (62M15)

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Cites Work

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