The generalized dynamic factor model: identification and estimation

MaRDI QIDQ5149175zbMATH OpenFDO

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

Publication date 6 February 2021

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)

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