Fitting dynamic factor models to non-stationary time series

Journal of Econometrics

Volumn 163, Issue 1, 2011, Pages 51-70

  Eichler, Michael ^a   Motta, Giovanni ^a   Von Sachs, Rainer ^b  

^a MAASTRICHT UNIVERSITY   (Netherlands)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Approximate factor models; Local stationarity; Principal components

Indexed keywords

CONSISTENT ESTIMATORS; COVARIANCE STRUCTURES; DATA SETS; DYNAMIC FACTOR MODELS; DYNAMIC LOADINGS; DYNAMIC STRUCTURE; ECONOMIC DATA; EIGENVECTORS; FACTOR MODEL; FREQUENCY DOMAINS; LOCAL STATIONARITY; NON-STATIONARY TIME SERIES; NONSTATIONARY; PRINCIPAL COMPONENTS; SECOND ORDER STRUCTURE; SERIAL CORRELATION; SIMULATION STUDIES; SMOOTH TRANSITIONS; SPECTRAL DENSITY MATRIX; STATIC FACTOR; TIME DIMENSION; TIME VARIATIONS; TIME VARYING; TIME-PERIODS; TIME-VARYING LOADINGS;

DYNAMIC LOADS; DYNAMIC MODELS; ESTIMATION; LOADING; SPECTRAL DENSITY; TIME SERIES; TIME VARYING SYSTEMS;

TIME SERIES ANALYSIS;

EID: 79956362468     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.11.007     Document Type: Conference Paper

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