Generalized linear dynamic factor models: an approach via singular autoregressions

DOI10.3166/EJC.16.211-224MaRDI QIDQ2638166zbMATH OpenFDO

Authors Brian D. O. Anderson, Alexander Filler, Weitan Chen, Manfred Deistler, Christiane Zinner

Publication date 14 September 2010

Published in European Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3166/EJC.16.211-224

zbMATH Keywords

high dimensional time seriesgeneralized dynamic factor models(generalized) Yule-Walker equationssingular AR system

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10)

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(19)

• Approximating singular by means of non-singular structural VARs
• Weak and strong cross-section dependence and estimation of large panels
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• Spectral Factorization of Rank-Deficient Rational Densities
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Prediction of singular VARs and an application to generalized dynamic factor models
• Multivariate AR systems and mixed frequency data: G-identifiability and estimation
• Solutions of Yule-Walker equations for singular AR processes
• Autoregressive models of singular spectral matrices
• Identifiability of structural singular vector autoregressive models
• A scalable multi-step least squares method for network identification with unknown disturbance topology
• Discussion on: ``Generalized linear dynamic factor models: an approach via singular autoregressions
• The general dynamic factor model: one-sided representation results
• Cross-Sectional Dependence in Panel Data Analysis
• Linear models based on noisy data and the Frisch scheme
• Panel data models with cross-sectional dependence: a selective review
• Hidden factor estimation in dynamic generalized factor analysis models
• Properties of blocked linear systems
• Identifiability of linear dynamic networks

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