Inferential theory for generalized dynamic factor models
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DOI: 10.1016/j.jeconom.2023.02.003
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- Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021. "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES 2021-20, ULB -- Universite Libre de Bruxelles.
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Cited by:
- Matteo Barigozzi & Marc Hallin, 2024.
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- Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org.
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More about this item
Keywords
High-dimensional time series; Generalized dynamic factor models; One-sided representations of dynamic factor models; Asymptotic distribution; Confidence intervals;All these keywords.
JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- E0 - Macroeconomics and Monetary Economics - - General
Statistics
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