Travail de recherche/Working paper
Titre: |
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Auteur: | Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo |
Statut de publication: | Publié, 2011-08 |
series: | ECARES Working Papers, ECARES 2011-019 |
Sujet CREF: | Economie |
Sujet JEL: | Mathematical and Quantitative Methods: General |
Econometrics | |
Macroeconomics and Monetary Economics: General | |
Volumes/pages: | 60 p. |
Mots-clés: | generalized dynamic factor models |
vector processes with singular spectral density | |
one-sided representations for dynamic factor models | |
consistency and rates for estimators of dynamic factor models | |
Langue: | Anglais |
Identificateurs: | RePEc:eca:wpaper:2013/94959 |