Hallin, Marc; Forni, Mario; Lippi, Marco; Zaffaroni, Paolo - European Centre for Advanced Research in Economics and … - 2012
Abstract. Factor model methods recently have become extremely popular in the theory andpractice of large panels of time series data. Those methods rely on various factor models whichall are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced inForni, Hallin, Lippi and...
