High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research

Marco Lippi, Manfred Deistler and Brian Anderson

Econometrics and Statistics, 2023, vol. 26, issue C, 3-16

Abstract: High-Dimensional Dynamic Factor Models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples. In particular, the role of singular ARMA models in the theory and applications of High-Dimensional Dynamic Factor Models is discussed. The emphasis is on model classes and their structure theory, rather than on estimation in the narrow sense. The survey is not comprehensive. Its aim is to point out promising lines of research and applications that have not yet been sufficiently developed.

Keywords: High-dimensional vector processes; Dynamic factor models; State-space representations; Singular ARMA vector processes (search for similar items in EconPapers)
JEL-codes: C50 C53 C55 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:26:y:2023:i:c:p:3-16

DOI: 10.1016/j.ecosta.2022.03.008

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