期刊
JOURNAL OF ECONOMETRICS
卷 119, 期 2, 页码 231-255出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/S0304-4076(03)00196-9
关键词
dynamic factor models; dynamic principal components; coincident indicators; consistency rates; large panels
A factor model generalizing those proposed by Geweke (in: D.J. Aigner and A.S. Goldberger, Latent Variables in Socio-Economic Models, North-Holland, Amsterdam, 1977), Sargent and Sims (New Methods in Business Research, Federal Reserve Bank of Minneapolis, Minneapolis, 1977), Engle and Watson (J. Amer. Statist. Assoc. 76 (1981) 774) and Stock and Watson (J. Business. Econom. Statist. 20 (2002) 147) has been introduced in Form et a]. (Rev. Econ. Statist. 80 (2000) 540), where consistent (as the number n of series and the number T of observations both tend to infinity along appropriate paths (n, T(n))) estimation methods for the common component are proposed. Rates of convergence associated with these methods are obtained here as functions of the paths (n, T(n)) along which n and T go to infinity. These results show that, under suitable assumptions, consistency requires T(n) to be at least of the same order as n, whereas an optimal rate of rootn is reached for T(n) of the order of n(2). if convergence to the space of common components is considered, consistency holds irrespective of the path (T(n) thus can be arbitrarily slow); the optimal rate is still rootn, but only requires T(n) to be of the order of n. (C) 2003 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据