Fitting dynamic factor models to non-stationary time series

DOI10.1016/j.jeconom.2010.11.007zbMath1441.62674OpenAlexW2015267372MaRDI QIDQ737945

Michael Eichler, Giovanni Motta, Rainer von Sachs

Publication date: 12 August 2016

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

Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/1736078/guid-6a49af7f-3bc8-44f2-9d0f-09826cdd46ea-ASSET1.0.pdf

zbMATH Keywords

principal componentslocal stationarityapproximate factor models

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) Inference from stochastic processes and spectral analysis (62M15)

Related Items (9)

Wavelet estimation for factor models with time-varying loadings ⋮ Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series ⋮ Time-varying general dynamic factor models and the measurement of financial connectedness ⋮ Simultaneous variable selection and structural identification for time‐varying coefficient models ⋮ Identification of Time-Varying Factor Models ⋮ Towards a general theory for nonlinear locally stationary processes ⋮ Market liquidity as dynamic factors ⋮ Data-Adaptive Estimation of Time-Varying Spectral Densities ⋮ Dynamic principal component analysis with missing values

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