Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
Year of publication: |
July 2017
|
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Authors: | Forni, Mario ; Hallin, Marc ; Lippi, Marco ; Zaffaroni, Paolo |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 199.2017, 1, p. 74-92
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Subject: | High-dimensional time series | Generalized dynamic factor models | Vector processes with singular spectral density | One-sided representations of dynamic factor models | Consistency and rates | Zeitreihenanalyse | Time series analysis | Faktorenanalyse | Factor analysis | Dynamische Wirtschaftstheorie | Economic dynamics | Panel | Panel study |
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