The generalized dynamic factor model consistency and rates
From MaRDI portal
Publication:2439043
DOI10.1016/S0304-4076(03)00196-9zbMath1282.91267MaRDI QIDQ2439043
Marco Lippi, Mario Forni, Marc Hallin, Lucrezia Reichlin
Publication date: 7 March 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)
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Cites Work
- Macroeconometrics -- past and future. (With comments)
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Forecasting Using Principal Components From a Large Number of Predictors
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
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