Dynamic factors in the presence of block structure

zbMATH Open1476.62260MaRDI QIDQ5149183FDOQ5149183

Authors: Marc Hallin, Roman Liška 

Publication date: 6 February 2021

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• scientific article; zbMATH DE number 1911755

zbMATH Keywords

panel datadynamic factor modeldynamic principal componentshigh-dimensional time series data

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) Causal inference from observational studies (62D20)

Cited In (4)

• Dynamic factors of macroeconomic data
• Editorial. Factor structures for panel and multivariate time series data
• Stratified factor model for factor analysis of multi-index panel data and its application
• Dynamic factors in the presence of blocks

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