Identification theory for high dimensional static and dynamic factor models

Journal of Econometrics

Volumn 178, Issue 2, 2014, Pages 794-804

  Bai, Jushan ^a   Wang, Peng ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

High dimensional dynamic factor models; Identification; Rank conditions

Indexed keywords

ECONOMICS; IDENTIFICATION (CONTROL SYSTEMS); MATHEMATICAL TECHNIQUES;

DYNAMIC FACTOR MODELS; FACTOR MODEL; HIGH-DIMENSIONAL; IDENTIFICATION PROBLEM; LARGE DIMENSIONS; RANK CONDITION;

JACOBIAN MATRICES;

EID: 84890855624     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.11.001     Document Type: Article

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