Dynamic factor models with infinite-dimensional factor spaces: One-sided representations

Journal of Econometrics

Volumn 185, Issue 2, 2015, Pages 359-371

  Forni, Mario ^a   Hallin, Marc ^b,c   Lippi, Marco ^d,e   Zaffaroni, Paolo ^d,f  

^a UNIVERSITY OF MODENA AND REGGIO EMILIA   (Italy)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^c PRINCETON UNIVERSITY   (United States)

^d SAPIENZA UNIVERSITY OF ROME   (Italy)

^e EIEF ^*  (Italy)

^f IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Generalized dynamic factor models; One sided representations for dynamic factor models; Vector processes with singular spectral density

Indexed keywords

SPECTRAL DENSITY;

DYNAMIC FACTOR MODELING; DYNAMIC FACTOR MODELS; FORECASTING PURPOSE; INFINITE DIMENSIONAL; MONTE CARLO RESULTS; OBSERVATION PERIOD; PRINCIPAL COMPONENTS; THEORY AND PRACTICE;

DYNAMIC MODELS;

EID: 84922621091     PISSN: 03044076     EISSN: 18726895     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.10.017     Document Type: Article

References (46)

1. L. Alessi, M. Barigozzi, and M. Capasso Improved penalization for determining the number of factors in approximate factor models Statist. Probab. Lett. 80 2010 1806 1813
2. F. Altissimo, R. Cristadoro, M. Forni, M. Lippi, and G. Veronese New Eurocoin: tracking economic growth in real time The Review of Economics and Statistics 92 2010 1024 1034
3. D. Amengual, and M. Watson Consistent estimation of the number of dynamic factors in a large N and T panel J. Bus. Econom. Statist. 25 2007 91 96
4. B. Anderson, and M. Deistler Properties of zero-free transfer function matrices SICE Journal of Control, Meas. Syst. Integrat. 1 2008 1 9
5. Anderson, B.; Deistler, M.; 2008b, Generalized linear dynamic factor models - A structure theory, In: 2008 IEEE Conference on Decision and Control.
6. J. Bai Inferential theory for factor models of large dimensions Econometrica 71 2003 135 171
7. J. Bai, and S. Ng Determining the number of factors in approximate factor models Econometrica 70 2002 191 221
8. J. Bai, and S. Ng Determining the number of primitive shocks in factor models J. Bus. Econom. Statist. 25 2007 52 60
9. B.S. Bernanke, and J. Boivin Monetary policy in a data-rich environment J. Monetary Econ. 50 2003 525 546
10. B.S. Bernanke, J. Boivin, and P. Eliasz Measuring monetary policy: a factor augmented autoregressive (FAVAR) approach Quart. J. Econ. 120 2005 387 422
11. J. Boivin, M.P. Giannoni, and I. Mihov Sticky prices and monetary policy: evidence from disaggregated US data Amer. Econ. Rev. 99 2009 350 384
12. J. Boivin, and S. Ng Are more data always better for factor analysis? J. Econometrics 132 2006 169 194
13. D.R. Brillinger Time Series: Data Analysis and Theory 1981 Holden-Day San Francisco
14. G. Chamberlain Funds, factors, and diversification in arbitrage pricing models Econometrica 51 1983 1281 1304
15. G. Chamberlain, and M. Rothschild Arbitrage, factor structure and mean-variance analysis in large asset markets Econometrica 51 1983 1305 1324
16. F. Corielli, and M. Marcellino Factor based index tracking J. Bank. & Finance 30 2006 2215 2233
17. R. Cristadoro, M. Forni, L. Reichlin, and G. Veronese A core inflation indicator for the euro area J. Money Credit Bank. 2005 539 560
18. N. Dunford, and J.T. Schwartz Linear Operators, Part I 1988 Wiley New York
19. S. Eickmeier Business cycle transmission from the US to Germany-A structural factor approach Eur. Econ. Rev. 51 2007 521 551
20. C. Favero, M. Marcellino, and F. Neglia Principal components at work: empirical analysis of monetary policy with large data sets J. Appl. Econometrics 20 2005 603 620
21. M. Forni, and L. Gambetti The dynamic effects of monetary policy: A structural factor model approach J. Monetary Econ. 57 2010 203 216
22. M. Forni, D. Giannone, M. Lippi, and L. Reichlin Opening the black box: structural factor models with large cross-sections Econometric Theory 25 2009 1319 1347
23. M. Forni, M. Hallin, M. Lippi, and L. Reichlin The generalized dynamic factor model: identification and estimation Rev. Econ. Statist. 82 2000 540 554
24. M. Forni, M. Hallin, M. Lippi, and L. Reichlin The generalized factor model: one-sided estimation and forecasting J. Amer. Statist. Assoc. 100 2005 830 840
25. Forni, M.; Hallin, M.; Lippi, M.; Zaffaroni, P.; 2014. Dynamic factor models with infinite dimensional factor space: estimation. EIEF Working Paper.
26. M. Forni, and M. Lippi The generalized dynamic factor model: representation theory Econometric Theory 17 2001 1113 1341
27. M. Forni, and M. Lippi The generalized dynamic factor model: one-sided representation results J. Econometrics 163 2011 23 28
28. J. Geweke The dynamic factor analysis of economic time series D.J. Aigner, A.S. Goldberger, Latent Variables in Socio-Economic Models 1977 North Holland Amsterdam
29. D. Giannone, L. Reichlin, and L. Sala Monetary policy in real time M. Gertler, K. Rogoff, NBER Macroeconomic Annual 2004 2005 MIT Press Cambridge, MA 161200
30. D. Giannone, L. Reichlin, and D. Small Nowcasting: The real-time informational content of macroeconomic data J. Monetary Econ. 55 2008 665 676
31. M. Hallin, and R. Liška Determining the number of factors in the general dynamic factor model J. Amer. Statist. Assoc. 102 2007 603 617
32. M. Hallin, Ch. Mathias, H. Pirotte, and D. Veredas Market liquidity as dynamic factors J. Econometrics 163 2011 42 50
33. E.J. Hannan Multiple Time Series 1970 Wiley New York
34. S.C. Ludvigson, and S. Ng The empirical risk-return relation: a factor analysis approach J. Finance. Econ. 83 2007 171 222
35. S.C. Ludvigson, and S. Ng Macro factors in bond risk premia Rev. Financ. Stud. 22 2009 5027 5067
36. A.G. Miamee, and M. Pourahmadi Degenerate multivariate stationary processes. Basicity, past and future, and autoregressive representation Sankhya Ser. A 49 1987 316 334
37. A. Onatski Testing hypotheses about the number of factors in large factor models Econometrica 77 2009 1447 1479
38. M. Pourahmadi Foundations of Time Series Analysis and Prediction Theory 2001 Wiley New York
39. D. Quah, and T.J. Sargent A Dynamic Index Model for Large Cross Sections Business Cycles, Indicators and Forecasting 1993 National Bureau of Economic Research
40. Yu. Rozanov Stationary Random Processes 1967 Holden Day San Francisco
41. H. Salehi The Continuation of Wiener's work on q-variate linear prediction and its extension to infinite-dimensional spaces P. Masani, Norbert Wiener: Collected Work vol. III 1981 MIT Press 307 338
42. T.J. Sargent, and C.A. Sims Business cycle modelling without pretending to have too much a priori economic theory C.A. Sims, New Methods in Business Research 1977 Federal Reserve Bank of Minneapolis Minneapolis
43. J.H. Stock, and M.W. Watson Macroeconomic Forecasting Using Diffusion Indexes J. Bus. Econom. Statist. 20 2002 147 162
44. J.H. Stock, and M.W. Watson Forecasting using principal components from a large number of predictors J. Amer. Statist. Assoc. 97 2002 1167 1179
45. Stock, J.H.; Watson, M.W.; 2005. Implications of dynamic factor models for VAR analysis. NBER Working Papers no. 11467.
46. B.L. van der Waerden Modern Algebra Vol. I 1953 Frederick Ungar New York