The general dynamic factor model: One-sided representation results

Journal of Econometrics

Volumn 163, Issue 1, 2011, Pages 23-28

  Forni, Mario ^a   Lippi, Marco ^b,c  

^a UNIVERSITY OF MODENA AND REGGIO EMILIA   (Italy)

^b SAPIENZA UNIVERSITY OF ROME   (Italy)

^c Dipartimento di Fisica   (Italy)

Author keywords

Dynamic factor models; Estimation by one sided filters; Frequency domain approach

Indexed keywords

DYNAMIC FACTOR MODELS; FREQUENCY DOMAIN APPROACH; FREQUENCY DOMAIN APPROACHES; GENERAL DYNAMICS; RATIONAL SPECTRAL DENSITY;

ESTIMATION; SPECTRAL DENSITY; VECTOR SPACES;

FREQUENCY DOMAIN ANALYSIS;

EID: 79956342102     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.11.003     Document Type: Conference Paper

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