On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
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Keywords
Dimension reduction; Forecast; Jumps; Large panels;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-01-06 (Econometrics)
- NEP-ETS-2020-01-06 (Econometric Time Series)
- NEP-FOR-2020-01-06 (Forecasting)
- NEP-ORE-2020-01-06 (Operations Research)
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