Simultaneous statistical inference in dynamic factor models
DOI10.1007/978-3-319-28725-6_3zbMATH Open1366.62108OpenAlexW2117358426MaRDI QIDQ5280122FDOQ5280122
Thorsten Dickhaus, Markus Pauly
Publication date: 20 July 2017
Published in: Time Series Analysis and Forecasting (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-033.pdf
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- scientific article; zbMATH DE number 1911755
- Nonstationary dynamic factor analysis
false discovery ratefamily-wise error ratelikelihood ratio statisticmultiple hypothesis testingmultivariate chi-square distributionresamplingtime series regressionWald statisticempirical Fourier transform
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)
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Cited In (10)
- Estimation of dynamic models on the factors of marginal principal component analysis
- A spectral EM algorithm for dynamic factor models
- Likelihood-based specification tests for dynamic factor models
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- Dynamic semi-parametric factor model for functional expectiles
- Multiple comparisons of mean vectors with large dimension under general conditions
- Hidden factor estimation in dynamic generalized factor analysis models
- Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Factor and Idiosyncratic Empirical Processes
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