Recent dynamic factor models have been almost exclusively developed under the assumption that the common components span a finite-dimensional vector space. However, this finite-dimension assumption rules out very simple factor-loading patterns and is therefore severely restrictive. The general case has been studied, using a frequency domain approach, in Forni, Hallin, Lippi and Reichlin (2000). That paper produces an estimator of the common components that is consistent but is based on filters that are two-sided and therefore unsuitable for prediction. The present paper, assuming a rational spectral density for the common components, obtains a one-sidedestimator without the finite-dimension assumption.

The general dynamic factor model: One-sided representation results / M., Lippi; Forni, Mario. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - STAMPA. - 163:1(2011), pp. 23-28. [10.1016/j.jeconom.2010.11.003]

The general dynamic factor model: One-sided representation results

FORNI, Mario
2011

Abstract

Recent dynamic factor models have been almost exclusively developed under the assumption that the common components span a finite-dimensional vector space. However, this finite-dimension assumption rules out very simple factor-loading patterns and is therefore severely restrictive. The general case has been studied, using a frequency domain approach, in Forni, Hallin, Lippi and Reichlin (2000). That paper produces an estimator of the common components that is consistent but is based on filters that are two-sided and therefore unsuitable for prediction. The present paper, assuming a rational spectral density for the common components, obtains a one-sidedestimator without the finite-dimension assumption.
2011
163
1
23
28
The general dynamic factor model: One-sided representation results / M., Lippi; Forni, Mario. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - STAMPA. - 163:1(2011), pp. 23-28. [10.1016/j.jeconom.2010.11.003]
M., Lippi; Forni, Mario
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/640824
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