Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series

Marc Hallin

Econometrics, 2022, vol. 10, issue 4, 1-9

Abstract: For more than half a century, Manfred Deistler has been contributing to the construction of the rigorous theoretical foundations of the statistical analysis of time series and more general stochastic processes. Half a century of unremitting activity is not easily summarized in a few pages. In this short note, we chose to concentrate on a relatively little-known aspect of Manfred’s contribution that nevertheless had quite an impact on the development of one of the most powerful tools of contemporary time series and econometrics: dynamic factor models.

Keywords: high-dimensional time series; general dynamic factor model; spiked covariance model; reduced-rank process (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2022
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