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We study a Large-Dimensional Non-Stationary Dynamic Factor Model where (1) the factors Ft are I (1) and singular, that is Ft has dimension r and is driven by q dynamic shocks with q less than r, (2) the idiosyncratic components are either I (0) or I (1). Under these assumption the factors Ft are...
Persistent link: https://www.econbiz.de/10012969638
The paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors Ft are I(1) and singular, i.e. Ft has dimension r and is driven by a q-dimensional white noise, the common shocks, with q r, and (2) the idiosyncratic components are I(1). We show that Ft is driven by r-c...
Persistent link: https://www.econbiz.de/10013210379
This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic...
Persistent link: https://www.econbiz.de/10011803273