The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series
Travail de recherche/Working paper
| Titre: |
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| Auteur: | Barigozzi, Matteo; Hallin, Marc |
| Statut de publication: | Publié, 2024-08 |
| series: | ECARES Working Papers, 2024-14 |
| Sujet CREF: | Econométrie et méthodes statistiques : théorie et applications |
| Volumes/pages: | 25 p. |
| Mots-clés: | Dynamic factor models; Weak factors; Cross-sectional exchangeability |
| Langue: | Anglais |
| Identificateurs: | RePEc:eca:wpaper:2013/377116 |
