GLS Estimation of Dynamic Factor Models

DOI10.1198/jasa.2011.tm09693zbMath1229.62081OpenAlexW2074093462MaRDI QIDQ3111206

Jörn Tenhofen, Jörg Breitung

Publication date: 18 January 2012

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jasa.2011.tm09693

zbMATH Keywords

heteroscedasticityserial correlationprincipal componentsgeneralized least squares

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Related Items (10)

Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets ⋮ Inferences in panel data with interactive effects using large covariance matrices ⋮ Efficient estimation of approximate factor models via penalized maximum likelihood ⋮ Statistical analysis of factor models of high dimension ⋮ Theory and methods of panel data models with interactive effects ⋮ Forecasting with factor-augmented regression: a frequentist model averaging approach ⋮ Efficient estimation of nonstationary factor models ⋮ Projected principal component analysis in factor models ⋮ Testing for structural breaks in dynamic factor models ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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