Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
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Publication:6093785
DOI10.1016/j.econlet.2023.111246MaRDI QIDQ6093785
Esther Ruiz Ortega, Pilar Poncela, Diego E. Fresoli
Publication date: 12 September 2023
Published in: Economics Letters (Search for Journal in Brave)
Cites Work
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Are more data always better for factor analysis?
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- Statistical analysis of factor models of high dimension
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- Principal components estimation and identification of static factors
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- EFFICIENT ESTIMATION OF FACTOR MODELS
- Inferential Theory for Factor Models of Large Dimensions
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
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