The generalized dynamic factor model: One-sided estimation and forecasting

Journal of the American Statistical Association

Volumn 100, Issue 471, 2005, Pages 830-840

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

^a UNIVERSITY OF MODENA AND REGGIO EMILIA   (Italy)

^b FREE UNIVERSITY OF BRUSSELS   (Belgium)

^c SAPIENZA UNIVERSITY OF ROME   (Italy)

^d UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

Author keywords

Dynamic factor model; Forecasting; Large cross section; Panel data; Principal components; Time series

Indexed keywords

EID: 24644522163     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214504000002050     Document Type: Review

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