Inferential theory for generalized dynamic factor models

DOI10.1016/j.jeconom.2023.02.003OpenAlexW3197261409MaRDI QIDQ6150524

Paolo Zaffaroni, Matteo Luciani, Matteo Barigozzi, Marc Hallin

Publication date: 6 March 2024

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.02.003

zbMATH Keywords

asymptotic distributionconfidence intervalshigh-dimensional time seriesgeneralized dynamic factor modelsone-sided representations of dynamic factor models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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