Dynamic Factor Models: a Genealogy
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- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
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More about this item
Keywords
High-dimensional time series; factor models; panel data; forecasting;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-11-20 (Econometrics)
- NEP-ETS-2023-11-20 (Econometric Time Series)
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