The general dynamic factor model: one-sided representation results

DOI10.1016/J.JECONOM.2010.11.003MaRDI QIDQ737938zbMATH OpenOpenAlexFDO

Authors Mario Forni, Marco Lippi

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

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

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Cites work

• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 1911755 (Why is no real title available?)
• A PANIC attack on unit roots and cointegration.
• Determining the Number of Factors in Approximate Factor Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Generalized linear dynamic factor models: an approach via singular autoregressions
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• The Generalized Dynamic Factor Model

Cited in

(13)

• Nowcasting real GDP for Saudi Arabia
• Optimal dimension reduction for high-dimensional and functional time series
• Factor models in high-dimensional time series: A time-domain approach
• Linear models based on noisy data and the Frisch scheme
• Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
• Generalized dynamic factor models and volatilities: estimation and forecasting
• Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis
• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Prediction of singular VARs and an application to generalized dynamic factor models
• A spectral EM algorithm for dynamic factor models
• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
• Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach

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