Song, Song; Härdle, Wolfgang K.; Ya'acov Ritov - In: Econometrics Journal 17 (2014) 2, pp. 101-101
High‐dimensional non‐stationary time series, which reveal both complex trends and stochastic behaviour, occur in many scientific fields, e.g. macroeconomics, finance, neuroeconomics, etc. To model these, we propose a generalized dynamic semi‐parametric factor model with a two‐step...