3.8 Article

Linear System Challenges of Dynamic Factor Models

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。
Article Economics

High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research

Marco Lippi et al.

Summary: This article provides a detailed presentation of High-Dimensional Dynamic Factor Models, including the main assumptions, motivations, main results, and illustrations using elementary examples. It particularly discusses the role of singular ARMA models in the theory and applications of these models. The emphasis is on model classes and their structure theory, rather than narrow estimation.

ECONOMETRICS AND STATISTICS (2023)

Article Economics

Large-dimensional Dynamic Factor Models: Estimation of Impulse-Response Functions with I(1) cointegrated factors

Matteo Barigozzi et al.

Summary: This study examines a large-dimensional Dynamic Factor Model, providing consistent estimators for factors, loadings, shocks, coefficients of the VECM, and Impulse-Response Functions as both cross-sectional size n and time dimension T approach infinity. The study also explores the finite-sample properties of the estimators through MonteCarlo exercises, overturning some results from previous literature by modeling the long-run dynamics of factors. Specifically, it finds that oil price shocks have only a temporary effect on US real activity, and a positive news shock leads to a significant boom followed by a milder recession.

JOURNAL OF ECONOMETRICS (2021)

Article Economics

Non-identifiability of VMA and VARMA systems in the mixed frequency case

Manfred Deistler et al.

ECONOMETRICS AND STATISTICS (2017)

Article Economics

MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION

Brian D. O. Anderson et al.

ECONOMETRIC THEORY (2016)

Article Economics

FRED-MD: A Monthly Database for Macroeconomic Research

Michael W. McCracken et al.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2016)

Article Automation & Control Systems

Properties of blocked linear systems

Weitian Chen et al.

AUTOMATICA (2012)

Article Automation & Control Systems

Autoregressive models of singular spectral matrices

Brian D. O. Anderson et al.

AUTOMATICA (2012)

Article Economics

A QUASI-MAXIMUM LIKELIHOOD APPROACH FOR LARGE, APPROXIMATE DYNAMIC FACTOR MODELS

Catherine Doz et al.

REVIEW OF ECONOMICS AND STATISTICS (2012)

Article Mathematics, Interdisciplinary Applications

Solutions of Yule-Walker equations for singular AR processes

Weitian Chen et al.

JOURNAL OF TIME SERIES ANALYSIS (2011)

Article Automation & Control Systems

Generalized Linear Dynamic Factor Models: An Approach via Singular Autoregressions

Manfred Deistler et al.

EUROPEAN JOURNAL OF CONTROL (2010)

Article Automation & Control Systems

Properties of Zero-Free Spectral Matrices

Brian D. O. Anderson et al.

IEEE TRANSACTIONS ON AUTOMATIC CONTROL (2009)

Article Economics

OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS

Mario Forni et al.

ECONOMETRIC THEORY (2009)

Article Statistics & Probability

Determining the number of factors in the general dynamic factor model

Marc Hallin et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2007)

Article Economics

Determining the number of primitive shocks in factor models

Jushan Bai et al.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2007)

Article Economics

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)

Article Statistics & Probability

Forecasting using principal components from a large number of predictors

JH Stock et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2002)

Article Economics

The generalized dynamic factor model: Representation theory

M Forni et al.

ECONOMETRIC THEORY (2001)

Article Economics

The generalized dynamic-factor model: Identification and estimation

M Forni et al.

REVIEW OF ECONOMICS AND STATISTICS (2000)

Article Mathematics, Applied

Asymptotic spectra of Hermitian block Toeplitz matrices and preconditioning results

M Miranda et al.

SIAM JOURNAL ON MATRIX ANALYSIS AND APPLICATIONS (2000)