The generalized dynamic factor model consistency and rates

Journal of Econometrics

Volumn 119, Issue 2, 2004, Pages 231-255

  Forni, Mario ^a   Hallin, Marc ^b   Lippi, Marco ^c   Reichlin, Lucrezia ^a,b  

^a UNIVERSITY OF MODENA AND REGGIO EMILIA   (Italy)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^c SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

Coincident indicators; Consistency rates; Dynamic factor models; Dynamic principal components; Large panels

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; EIGENVALUES AND EIGENFUNCTIONS; ESTIMATION; FUNCTIONS; MATHEMATICAL MODELS; THEOREM PROVING;

COINCIDENT INDICATORS; DYNAMIC FACTOR MODELS; DYNAMIC PRINCIPAL COMPONENTS;

ECONOMIC AND SOCIAL EFFECTS;

EID: 1642324121     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00196-9     Document Type: Conference Paper

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