Locally Stationary Factor Models: Identification And Nonparametric Estimation
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 27 (2011)
Issue (Month): 06 (December)
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- Eichler, Michael & Motta, Giovanni & von Sachs, Rainer, 2011.
"Fitting dynamic factor models to non-stationary time series,"
Journal of Econometrics,
Elsevier, vol. 163(1), pages 51-70, July.
- Eichler Michael & Motta Giovanni & Sachs Rainer von, 2009. "Fitting dynamic factor models to non-stationary time series," Research Memorandum 002, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hallin, Marc & Lippi, Marco, 2013.
"Factor models in high-dimensional time series—A time-domain approach,"
Stochastic Processes and their Applications,
Elsevier, vol. 123(7), pages 2678-2695.
- Marc Hallin & Marco Lippi, 2013. "Factor Models in High-Dimensional Time Series: A Time-Domain Approach," Working Papers ECARES ECARES 2013-15, ULB -- Universite Libre de Bruxelles.
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