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The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: Journal of the American Statistical Association 100 (2005) September, pp. 830-840
Persistent link: https://www.econbiz.de/10005238507
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Theory and Methods - The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: Journal of the American Statistical Association : JASA 100 (2005) 471, pp. 830-840
Persistent link: https://www.econbiz.de/10006606305
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The generalised dynamic factor model: one sided estimation and forecasting
Hallin, Marc; Reichlin, Lucrezia; Forni, Mario; Lippi, Marco - Solvay Brussels School of Economics and Management, … - 2005
Persistent link: https://www.econbiz.de/10008590131
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The generalised dynamic factor model: identification and estimation
Hallin, Marc; Reichlin, Lucrezia; Forni, Mario; Lippi, Marco - Solvay Brussels School of Economics and Management, … - 2000
Persistent link: https://www.econbiz.de/10008590191
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The generalised dynamic factor model: consistency and rates
Hallin, Marc; Reichlin, Lucrezia; Forni, Mario; Lippi, Marco - Solvay Brussels School of Economics and Management, … - 2004
Persistent link: https://www.econbiz.de/10008590213
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Do financial variables help forecasting inflation and real activity in the Euro area ?
Hallin, Marc; Reichlin, Lucrezia; Forni, Mario; Lippi, Marco - Solvay Brussels School of Economics and Management, … - 2003
Persistent link: https://www.econbiz.de/10008590418
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The generalized dynamic factor model consistency and rates
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: Journal of econometrics 119 (2004) 2, pp. 231-256
Persistent link: https://www.econbiz.de/10006757707
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Do financial variables help forecasting inflation and real activity in the euro area?
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: Journal of monetary economics 50 (2003) 6, pp. 1243-1256
Persistent link: https://www.econbiz.de/10007654228
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THE GENERALIZED DYNAMIC-FACTOR MODEL: IDENTIFICATION AND ESTIMATION
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: The review of economics and statistics 82 (2000) 4, pp. 540-554
Persistent link: https://www.econbiz.de/10006382808
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The Generalized Dynamic Factor Model: Identification and Estimation
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1999
This paper analyzes identification conditions, and proposes an estimator, for a dynamic factor model where the idiosyncratic components are allowed to be mutually non-orthogonal. This model, which we call the generalized dynamic factor model, is novel to the literature, and generalizes the...
Persistent link: https://www.econbiz.de/10005667125