Martingale approximation for common factor representation
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References listed on IDEAS
- Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
- Magnus, Jan R., 1985. "On Differentiating Eigenvalues and Eigenvectors," Econometric Theory, Cambridge University Press, vol. 1(02), pages 179-191, August.
- Magnus, J.R., 1985. "On differentiating eigenvalues and eigenvectors," Other publications TiSEM f410e3a5-ba9b-4787-b8cc-4, Tilburg University, School of Economics and Management.
- Castle, Jennifer & Shephard, Neil (ed.), 2009. "The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry," OUP Catalogue, Oxford University Press, number 9780199237197.
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Keywordsmartingale approximation; dynamic factor model; eigenvalue; stability;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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