The Generalized Dynamic Factor Model: Representation Theory
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Other versions of this item:
- Forni, Mario & Lippi, Marco, 2001. "The Generalized Dynamic Factor Model: Representation Theory," Econometric Theory, Cambridge University Press, vol. 17(6), pages 1113-1141, December.
More about this item
KeywordsDynamic Factor Structure; Dynamic Principal Components; Idiosyncratic Components; Large Cross-Sections;
All these keywords.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
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