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Frequency domain principal components estimation of fractionally cointegrated processes
Morana, Claudio, (2004)
Unobservable cyclical components in term premia of fixed-term financial instruments
MacDonald, Alexander David, (1993)
Nonparametric detection and estimation of structural change
Kristensen, Dennis, (2011)
Estimation of approximate factor models : is it important to have a large number of variables?
Heaton, Christopher, (2006)
Identification of causal factor models of stationary time series
Heaton, Christopher, (2004)
Identification and estimation of causal factor models of stationary time series
Heaton, Christopher, (2002)