Forni, Mario; Giannone, Domenico; Lippi, Marco; … - 2007
components of the x’s to u
t
,
whereas the idiosyncratic components are disregarded.
Firstly, we claim that ideas and methods of … spanned
by present an past values of x
t
can be “too small” to recover u
t
. This equal-
dimension constraint is relaxed in …), Bai and Ng (2002) and Bai (2003).
Denote byx
T
n
=(x
it
)
i=1,...,n;t=1,...,T
an n×T rectangular array of observations.
We …