A robust procedure to build dynamic factor models with cluster structure

Dynamic factor models provide a useful way to model large sets of time series. These data often have heterogeneity and cluster structure and the formulation and estimation of dynamic factor models should be adapted to these features. This article presents a procedure to fit Dynamic Factor Models wit...

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Veröffentlicht in:	Journal of econometrics 2020-05, Vol.216 (1), p.35-52
Hauptverfasser:	Alonso, Andrés M., Galeano, Pedro, Peña, Daniel
Format:	Artikel
Sprache:	eng
Schlagworte:	Cleaning Cluster analysis Clustering time series Dependency Dependency measures Electricity Estimating techniques Monte Carlo simulation Multivariate additive outliers Multivariate level shifts Principal components Principal components analysis Time series
Online-Zugang:	Volltext
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