Consistency of generalized dynamic principal components in dynamic factor models

Ezequiel Smucler

Statistics & Probability Letters, 2019, vol. 154, issue C, -

Abstract: This note shows that when the data follows a dynamic factor model, the reconstruction provided by the generalized dynamic principal components introduced in Peña and Yohai (2016) converges in mean square to the common part of the factor model as both the number of time series and the number of observations diverge to infinity at any rate. A simulation study shows that the method indeed provides accurate estimations of the common part, having a mean square error smaller than competitors.

Keywords: Dimension reduction; Dynamic principal components; High-dimensional time series (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2019.06.012

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