Hallin, Marc; Liska, Roman - In: Journal of Econometrics 163 (2011) 1, pp. 29-41
Macroeconometric data often come under the form of large panels of time series, themselves decomposing into smaller but still quite large subpanels or blocks. We show how the dynamic factor analysis method proposed in Forni et al. (2000), combined with the identification method of Hallin and...