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 |
