Dynamic factors in the presence of blocks

DOI10.1016/j.jeconom.2010.11.004zbMath1441.62716OpenAlexW1977361774MaRDI QIDQ737940

Roman Liška, Marc Hallin

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.11.004

zbMATH Keywords

panel datadynamic factor modeldynamic principal componentshigh dimensional time series data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (16)

Generalized dynamic factor models and volatilities: estimation and forecasting ⋮ Large volatility matrix analysis using global and national factor models ⋮ Inferential theory for generalized dynamic factor models ⋮ Canonical correlation-based model selection for the multilevel factors ⋮ Principal components estimation and identification of static factors ⋮ Constrained Factor Models for High-Dimensional Matrix-Variate Time Series ⋮ D-CCA: A Decomposition-Based Canonical Correlation Analysis for High-Dimensional Datasets ⋮ Detecting groups in large vector autoregressions ⋮ A semiparametric latent factor model for large scale temporal data with heteroscedasticity ⋮ Large Covariance Estimation by Thresholding Principal Orthogonal Complements ⋮ Autoregressive models for matrix-valued time series ⋮ Market liquidity as dynamic factors ⋮ A robust procedure to build dynamic factor models with cluster structure ⋮ Estimation of high-dimensional linear factor models with grouped variables ⋮ Determining the number of factors with potentially strong within-block correlations in error terms ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

• VARs, common factors and the empirical validation of equilibrium business cycle models
• Market liquidity as dynamic factors
• Inertia characteristics of self-adjoint matrix polynomials
• The generalized dynamic factor model consistency and rates
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in the General Dynamic Factor Model
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model
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