Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis

Published 2017 View Full Article

Authors

Keywords

High-dimensional time series, Generalized dynamic factor models, Vector processes with singular spectral density, One-sided representations of dynamic factor models, Consistency and rates

Journal

JOURNAL OF ECONOMETRICS

Volume 199, Issue 1, Pages 74-92

Publisher

Elsevier BV

Online

2017-04-25

DOI

10.1016/j.jeconom.2017.04.002

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