Eichler, Michael; Motta, Giovanni; von Sachs, Rainer - In: Journal of Econometrics 163 (2011) 1, pp. 51-70
Factor modelling of a large time series panel has widely proven useful to reduce its cross-sectional dimensionality. This is done by explaining common co-movements in the panel through the existence of a small number of common components, up to some idiosyncratic behaviour of each individual...