The generalized dynamic factor model: consistency and rates

zbMATH Open1476.62034MaRDI QIDQ5149178FDOQ5149178

Authors: Mario Forni, Marc Hallin, Marco Lippi, Lucrezia Reichlin 

Publication date: 6 February 2021

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zbMATH Keywords

dynamic factor modellarge panelsconsistency ratesdynamic principal componentscoincident indicators

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Causal inference from observational studies (62D20) Inference from stochastic processes and spectral analysis (62M15)

Cited In (15)

• The generalized dynamic factor model consistency and rates
• Determining the number of factors in the general dynamic factor model
• The generalized dynamic factor model: identification and estimation
• Generalized linear time series regression
• Discussion on: ``Generalized linear dynamic factor models: an approach via singular autoregressions
• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
• The general dynamic factor model: one-sided representation results
• Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis
• Consistency of generalized dynamic principal components in dynamic factor models
• Title not available (Why is that?)
• Inferential Theory for Factor Models of Large Dimensions
• Simultaneous statistical inference in dynamic factor models
• The generalized dynamic factor model: representation theory
• GLS estimation of dynamic factor models
• Generalized linear dynamic factor models: an approach via singular autoregressions

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