The generalized dynamic factor model consistency and rates

A factor model generalizing those proposed by Geweke (in: D.J. Aigner and A.S. Goldberger, Latent Variables in Socio-Economic Models, North-Holland, Amsterdam, 1977), Sargent and Sims (New Methods in Business Research, Federal Reserve Bank of Minneapolis, Minneapolis, 1977), Engle and Watson (J. Ame...

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Veröffentlicht in:	Journal of econometrics 2004-04, Vol.119 (2), p.231-255
Hauptverfasser:	Forni, Mario, Hallin, Marc, Lippi, Marco, Reichlin, Lucrezia
Format:	Artikel
Sprache:	eng
Schlagworte:	Coincident indicators Consistency rates Convergence Dynamic factor models Dynamic principal components Dynamics Econometric models Econometrics Factor analysis Indicators Large panels Model testing Panel surveys Studies
Online-Zugang:	Volltext
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