Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various factor models which all are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forni, Hallin, Lippi and Reichlin...

This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We argue that all identification schemes employed in SVAR analysis can be easily adapted in dynamic factor models. Moreover, the “problem of fundamentalness”, which is intractable in structural...

Abstract. Factor model methods recently have become extremely popular in the theory andpractice of large panels of time series data. Those methods rely on various factor models whichall are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced inForni, Hallin, Lippi and...

High-dimensional time series may well be the most common type of dataset in the socalled“big data” revolution, and have entered current practice in many areas, includingmeteorology, genomics, chemometrics, connectomics, complex physics simulations, biologicaland environmental research,...