Identification theory for high dimensional static and dynamic factor models

DOI10.1016/j.jeconom.2013.11.001zbMath1293.62131OpenAlexW2109724895MaRDI QIDQ2512530

Jushan Bai, Peng Wang

Publication date: 7 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.11.001

zbMATH Keywords

identificationrank conditionshigh-dimensional dynamic factor models

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Estimation and inference of dynamic structural factor models with over-identifying restrictions ⋮ Factor Models for High-Dimensional Tensor Time Series ⋮ Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification ⋮ Dynamic factor structure of team performances in Liga MX ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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