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| Author: | Forni, M. |
| Title: | The generalized dynamic factor model: identification and estimation |
| Journal: | Review of Economics and Statistics
2000 : NOV, VOL. 82:4, p. 540-554 |
| Index terms: | DYNAMIC MODELS ESTIMATION FACTOR ANALYSIS |
| Language: | eng |
| Abstract: | This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which the authors call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild, as well as the exact factor model a la Sargent and Sims. The authors provide identification conditions, propose an estimator of the common components, prove convergence as both time and cross-sectional size go to infinity at appropriate rates, and present simulation results. |
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