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The generalized dynamic factor model consistency and rates
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: Journal of econometrics 119 (2004) 2, pp. 231-255
Persistent link: https://www.econbiz.de/10001956174
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The general dynamic factor model : one-sided representation results
Forni, Mario; Lippi, Marco - In: Journal of econometrics 163 (2011) 1, pp. 23-28
Persistent link: https://www.econbiz.de/10009270597
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Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - In: Journal of econometrics 199 (2017) 1, pp. 74-92
Persistent link: https://www.econbiz.de/10011818962
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Dynamic factor models with infinite-dimensional factor spaces : one-sided representations
Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - In: Journal of econometrics 185 (2015) 2, pp. 359-371
Persistent link: https://www.econbiz.de/10011348429
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Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - In: Journal of econometrics 221 (2021) 2, pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
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The generalized dynamic factor model consistency and rates
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: Journal of econometrics 119 (2004) 2, pp. 231-256
Persistent link: https://www.econbiz.de/10006757707
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A two-step estimator for large approximate dynamic factor models based on Kalman filtering
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 164 (2011) 1, pp. 188-205
Persistent link: https://www.econbiz.de/10009270387
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VARs, common factors and the empirical validation of equilibrium business cycle models
Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - In: Journal of econometrics 132 (2006) 1, pp. 257-279
Persistent link: https://www.econbiz.de/10003320265
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Forecasting using a large number of predictors : is Bayesian shrinkage a valid alternative to principal components?
De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 146 (2008) 2, pp. 318-328
Persistent link: https://www.econbiz.de/10003782984
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The general dynamic factor model: One-sided representation results
Forni, Mario; Lippi, Marco - In: Journal of econometrics 163 (2011) 1, pp. 23-29
Persistent link: https://www.econbiz.de/10009017646