The general dynamic factor model: one-sided representation results

DOI10.1016/j.jeconom.2010.11.003zbMath1441.62689OpenAlexW2170712864MaRDI QIDQ737938

Marco Lippi, Mario Forni

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.11.003

zbMATH Keywords

dynamic factor modelsfrequency domain approachestimation by one-sided filters

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• Forecasting Using Principal Components From a Large Number of Predictors
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model