Identification of causal factor models of stationary time series
AbstractWe consider identification of a class of dynamic factor model. We show that identification holds under reasonably general conditions. The results apply to many of the dynamic factor models that have appeared in the literature and to many worthwhile generalizations of those models. Copyright Royal Economic Socciety 2004
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 7 (2004)
Issue (Month): 2 (December)
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- Bai, Jushan & Ng, Serena, 2013. "Principal components estimation and identification of static factors," Journal of Econometrics, Elsevier, vol. 176(1), pages 18-29.
- Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests For Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
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