Some Convergence Results On Dynamic Factor Models
AbstractWe review some recent papers on a large dynamic factor model (LDFM) and its applications to structural macroeconomic analysis. Then we prove some convergence results concerning with the stochastic variables which define such a model.
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Bibliographic InfoArticle provided by ASERS Publishing in its journal Theoretical and Practical Research in Economic Fields.
Volume (Year): II (2011)
Issue (Month): 2 (December)
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dynamic factor model; fundamentalness; identification; estimation; consistency; convergence.;
Find related papers by JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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