SOME CONVERGENCE RESULTS ON DYNAMIC FACTOR MODELS

We review some recent papers on a large dynamic factor model (LDFM) and its applications to structural macroeconomic analysis. Then we prove some convergence results concerning with the stochastic variables which define such a model.

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Year of publication:	2011
Authors:	CAVICCHIOLI, Maddalena
Published in:	Theoretical and Practical Research in Economic Fields. - ASERS Publishing. - Vol. II.2011, 2, p. 120-131
Publisher:	ASERS Publishing
Subject:	dynamic factor model \| fundamentalness \| identification \| estimation \| consistency \| convergence

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Extent:	text/html
Type of publication:	Article
Classification:	C01 - Econometrics ; C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009653229