Dynamic factors in the presence of blocks

DOI10.1016/j.jeconom.2010.11.004zbMath1441.62716MaRDI QIDQ737940

Roman Liška, Marc Hallin

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.2010.11.004

zbMATH Keywords

panel data; dynamic factor model; dynamic principal components; high dimensional time series data

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Constrained Factor Models for High-Dimensional Matrix-Variate Time Series, Large Covariance Estimation by Thresholding Principal Orthogonal Complements, Determining the number of factors with potentially strong within-block correlations in error terms, Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components, Large volatility matrix analysis using global and national factor models, Inferential theory for generalized dynamic factor models, Autoregressive models for matrix-valued time series, Market liquidity as dynamic factors, Estimation of high-dimensional linear factor models with grouped variables, Generalized dynamic factor models and volatilities: estimation and forecasting, Detecting groups in large vector autoregressions, A semiparametric latent factor model for large scale temporal data with heteroscedasticity, A robust procedure to build dynamic factor models with cluster structure, Principal components estimation and identification of static factors, Canonical correlation-based model selection for the multilevel factors, D-CCA: A Decomposition-Based Canonical Correlation Analysis for High-Dimensional Datasets

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