Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: The Review of Economics and Statistics 82 (2000) 4, pp. 540-554
This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the...