کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096689 | 1376543 | 2011 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The general dynamic factor model: One-sided representation results
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The general dynamic factor model: One-sided representation results The general dynamic factor model: One-sided representation results](/preview/png/5096689.png)
چکیده انگلیسی
Recent dynamic factor models have been almost exclusively developed under the assumption that the common components span a finite-dimensional vector space. However, this finite-dimension assumption rules out very simple factor-loading patterns and is therefore severely restrictive. The general case has been studied, using a frequency domain approach, in Forni et al. (2000). That paper produces an estimator of the common components that is consistent but is based on filters that are two-sided and therefore unsuitable for prediction. The present paper, assuming a rational spectral density for the common components, obtains a one-sided estimator without the finite-dimension assumption.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 163, Issue 1, July 2011, Pages 23-28
Journal: Journal of Econometrics - Volume 163, Issue 1, July 2011, Pages 23-28
نویسندگان
Mario Forni, Marco Lippi,