相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research
Marco Lippi et al.
ECONOMETRICS AND STATISTICS (2023)
Large-dimensional Dynamic Factor Models: Estimation of Impulse-Response Functions with I(1) cointegrated factors
Matteo Barigozzi et al.
JOURNAL OF ECONOMETRICS (2021)
Non-identifiability of VMA and VARMA systems in the mixed frequency case
Manfred Deistler et al.
ECONOMETRICS AND STATISTICS (2017)
MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION
Brian D. O. Anderson et al.
ECONOMETRIC THEORY (2016)
FRED-MD: A Monthly Database for Macroeconomic Research
Michael W. McCracken et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2016)
The structure of multivariate AR and ARMA systems: Regular and singular systems; the single and the mixed frequency case
Brian D. O. Anderson et al.
JOURNAL OF ECONOMETRICS (2016)
Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
Mario Forni et al.
JOURNAL OF ECONOMETRICS (2015)
Properties of blocked linear systems
Weitian Chen et al.
AUTOMATICA (2012)
Autoregressive models of singular spectral matrices
Brian D. O. Anderson et al.
AUTOMATICA (2012)
A QUASI-MAXIMUM LIKELIHOOD APPROACH FOR LARGE, APPROXIMATE DYNAMIC FACTOR MODELS
Catherine Doz et al.
REVIEW OF ECONOMICS AND STATISTICS (2012)
Solutions of Yule-Walker equations for singular AR processes
Weitian Chen et al.
JOURNAL OF TIME SERIES ANALYSIS (2011)
Generalized Linear Dynamic Factor Models: An Approach via Singular Autoregressions
Manfred Deistler et al.
EUROPEAN JOURNAL OF CONTROL (2010)
TESTING HYPOTHESES ABOUT THE NUMBER OF FACTORS IN LARGE FACTOR MODELS
Alexei Onatski
ECONOMETRICA (2009)
Properties of Zero-Free Spectral Matrices
Brian D. O. Anderson et al.
IEEE TRANSACTIONS ON AUTOMATIC CONTROL (2009)
OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
Mario Forni et al.
ECONOMETRIC THEORY (2009)
Determining the number of factors in the general dynamic factor model
Marc Hallin et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2007)
Determining the number of primitive shocks in factor models
Jushan Bai et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2007)
Consistent estimation of the number of dynamic factors in a large N and T panel
Dante Amengual et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2007)
Forecasting using principal components from a large number of predictors
JH Stock et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2002)
Determining the number of factors in approximate factor models
JS Bai et al.
ECONOMETRICA (2002)
The generalized dynamic factor model: Representation theory
M Forni et al.
ECONOMETRIC THEORY (2001)
The generalized dynamic-factor model: Identification and estimation
M Forni et al.
REVIEW OF ECONOMICS AND STATISTICS (2000)
Asymptotic spectra of Hermitian block Toeplitz matrices and preconditioning results
M Miranda et al.
SIAM JOURNAL ON MATRIX ANALYSIS AND APPLICATIONS (2000)