GLS estimation of dynamic factor models

Journal of the American Statistical Association

Volumn 106, Issue 495, 2011, Pages 1150-1166

  Breitung, Jörg ^a   Tenhofen, Jörn ^b  

^a UNIVERSITY OF BONN   (Germany)

^b DEUTSCHE BUNDESBANK   (Germany)

Author keywords

Factor models; Generalized least squares; Heteroscedasticity; Principal components; Serial correlation

Indexed keywords

EID: 80054705819     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/jasa.2011.tm09693     Document Type: Article

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