Identification of causal factor models of stationary time series

Chris Heaton and Victor Solo

Econometrics Journal, 2004, vol. 7, issue 2, 618-627

Abstract: We consider identification of a class of dynamic factor model. We show that identification holds under reasonably general conditions. The results apply to many of the dynamic factor models that have appeared in the literature and to many worthwhile generalizations of those models. Copyright Royal Economic Socciety 2004

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:7:y:2004:i:2:p:618-627

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