The generalized dynamic factor model consistency and rates
From MaRDI portal
Publication:2439043
Recommendations
- The generalized dynamic factor model: consistency and rates
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Consistency of generalized dynamic principal components in dynamic factor models
- The generalized dynamic factor model: identification and estimation
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Generalized dynamic factor models and volatilities: estimation and forecasting
- The generalized dynamic factor model: representation theory
- Consistent factor estimation in dynamic factor models with structural instability
- scientific article; zbMATH DE number 1911755
Cites work
- Determining the Number of Factors in Approximate Factor Models
- Forecasting Using Principal Components From a Large Number of Predictors
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 3605818 (Why is no real title available?)
- scientific article; zbMATH DE number 1911755 (Why is no real title available?)
- scientific article; zbMATH DE number 3408799 (Why is no real title available?)
- Inferential Theory for Factor Models of Large Dimensions
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Macroeconometrics -- past and future. (With comments)
Cited in
(67)- A computational method for estimating continuum factor models
- Traders' networks of interactions and structural properties of financial markets: an agent-based approach
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- Estimating change-point latent factor models for high-dimensional time series
- Static and dynamic factors in an information-based multi-asset artificial stock market
- Consistency of generalized dynamic principal components in dynamic factor models
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Threshold factor models for high-dimensional time series
- Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
- On the Marčenko-Pastur law for linear time series
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- Inflation dynamics of franc-zone countries determinants, co-movements and spatial interactions
- Factor-GMM estimation with large sets of possibly weak instruments
- Random matrix theory in statistics: a review
- Hidden factor estimation in dynamic generalized factor analysis models
- Large sample behaviour of high dimensional autocovariance matrices
- Estimation of autocovariance matrices for infinite dimensional vector linear process
- Size, openness, and macroeconomic interdependence
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- Quantile regression models with factor‐augmented predictors and information criterion
- Extracting a common stochastic trend: theory with some applications
- Are disaggregate data useful for factor analysis in forecasting French GDP?
- Model selection for generalized linear models with factor-augmented predictors
- A parametric estimation method for dynamic factor models of large dimensions
- Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
- Estimating factor models for multivariate volatilities: an innovation expansion method
- An extended portmanteau test for VARMA models with mixing nonlinear constraints
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- The three-pass regression filter: a new approach to forecasting using many predictors
- Stock return predictability: a factor-augmented predictive regression system with shrinkage method
- Least squares estimation of large dimensional threshold factor models
- Wavelet estimation for factor models with time-varying loadings
- A predictive approach for selection of diffusion index models
- Econometric analysis of high dimensional VARs featuring a dominant unit
- Extracting conditionally heteroskedastic components using independent component analysis
- Forecasting the industrial production using alternative factor models and business survey data
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- The generalized dynamic factor model: identification and estimation
- The generalized dynamic factor model: consistency and rates
- Spatial dynamic panel data models with interactive fixed effects
- Principal Component Analysis of High-Frequency Data
- Factor and Idiosyncratic Empirical Processes
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
- Parametric estimation of long memory in factor models
- Factor models for high‐dimensional functional time series I: Representation results
- Factor models for high‐dimensional functional time series II: Estimation and forecasting
- Identification of Time-Varying Factor Models
- Information-based multi-assets artificial stock market with heterogeneous agents
- A conversation with Marc Hallin
- High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling
- Estimation of high-dimensional dynamic factor models based on two-way information of auto-covariance
- The dynamic, the static, and the weak: factor models and the analysis of high-dimensional time series
- CP factor model for dynamic tensors
- Common factors and common shocks: a tale of three (close) signal extraction procedures
- Detection of changes in panel data models with stationary regressors
- Marc Hallin: a commented bibliography (from 1972 to 2023)
- Infinite-dimensional VARs and factor models
- The general dynamic factor model: one-sided representation results
- Dynamic factors in the presence of blocks
- Market liquidity as dynamic factors
- Fitting dynamic factor models to non-stationary time series
- Estimating multi-country prosperity index: a two-dimensional singular spectrum analysis approach
- Estimation of high-dimensional linear factor models with grouped variables
- Dynamic factor models
This page was built for publication: The generalized dynamic factor model consistency and rates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2439043)
