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Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
16 references·11 citing·29 second hop
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References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 2007Determining the Number of Factors in the General Dynamic Factor Model559 cited
  • 2006Determining the Number of Primitive Shocks in Factor Models540 cited
  • 2009Testing Hypotheses About the Number of Factors in Large Factor Models428 cited
  • 2009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS394 cited
  • 2012Generalized Shrinkage Methods for Forecasting Using Many Predictors302 cited
  • 2003The generalized dynamic factor model consistency and rates297 cited
  • 2006Consistent Estimation of the Number of Dynamic Factors in a LargeNandTPanel223 cited
  • 2014Sufficient information in structural VARs205 cited
  • 2011Comparing Alternative Predictors Based on Large‐Panel Factor Models139 cited
  • 2014Dynamic factor models with infinite-dimensional factor spaces: One-sided representations

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119 cited
  • 2018Dynamic factor model with infinite‐dimensional factor space: Forecasting42 cited
  • Cited by

    • 2021Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe59 cited
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    • 2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals39 cited
    • 2021Forecasting stock returns with large dimensional factor models30 cited
    • 2023Quantifying noise in survey expectations29 cited
    • 2020Flexible copula models with dynamic dependence and application to financial data22 cited
    • 2021Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach20 cited
    • 2016Non-Stationary Dynamic Factor Models for Large Datasets15 cited
    • 2023Inferential theory for generalized dynamic factor models10 cited
    • 2023Estimation and Inference on Time-Varying FAVAR Models9 cited
    • 2017Non-Stationary Dynamic Factor Models for Large Datasets9 cited