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ArticleThe generalized dynamic factor model consistency and rates

Mario Forni2003

OA

Articlegreen2003

The generalized dynamic factor model consistency and rates

Mario Forni · Marc Hallin · Marco Lippi · Lucrezia Reichlin

297 citations·0/0 files stored·Journal of Econometrics

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Spatial and Panel Data Analysis Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 2002Macroeconomic Forecasting Using Diffusion Indexes 2000The Generalized Dynamic-Factor Model: Identification and Estimation 2003Inferential Theory for Factor Models of Large Dimensions 1986Performance measurement with the arbitrage pricing theory 1978Latent Variables in Socio-Economic Models.1998Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics

Cited by

2013Large Panel Data Models with Cross-Sectional Dependence: A Survey 2012Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit 2015Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections 2010Infinite-dimensional VARs and factor models 2017Spatial dynamic panel data models with interactive fixed effects 2013Large Panel Data Models with Cross-Sectional Dependence: A Survey

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Details

Year2003

Typearticle

Published2003-08-08

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations297

Files0 public / 0

ShelfSpatial and Panel Data Analysis

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doi10.1016/s0304-4076(03)00196-9

openalex_workW2079036145

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2014Dynamic factor models with infinite-dimensional factor spaces: One-sided representations

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