The generalized dynamic factor model: consistency and rates

MaRDI QIDQ5149178zbMATH OpenFDO

Authors Mario Forni, Marc Hallin, Marco Lippi, Lucrezia Reichlin

Publication date 6 February 2021

zbMATH Keywords

coincident indicatorsconsistency ratesdynamic factor modeldynamic principal componentslarge panels

Mathematics Subject Classification ID

Causal inference from observational studies (62D20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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(16)

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• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
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• Generalized linear dynamic factor models: an approach via singular autoregressions
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