Linear System Challenges of Dynamic Factor Models

Brian D. O. Anderson (), Manfred Deistler and Marco Lippi
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Brian D. O. Anderson: School of Engineering, Australian National University, Acton, Canberra, ACT 2601, Australia
Manfred Deistler: Research Unit of Econometrics and System Theory, Technische Universität Wien, Wiednerhauptstrasse 8, 1040 Vienna, Austria

Econometrics, 2022, vol. 10, issue 4, 1-26

Abstract: A survey is provided dealing with the formulation of modelling problems for dynamic factor models, and the various algorithm possibilities for solving these modelling problems. Emphasis is placed on understanding requirements for the handling of errors, noting the relevance of the proposed application of the model, be it for example prediction or business cycle determination. Mixed frequency problems are also considered, in which certain entries of an underlying vector process are only available for measurement at a submultiple frequency of the original process. Certain classes of processes are shown to be generically identifiable, and others not to have this property.

Keywords: dynamic factor model; high-dimensional time series; linear systems theory (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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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