The Generalized Dynamic-Factor Model: Identification And Estimation
Mario Forni,
Marc Hallin,
Marco Lippi and
Lucrezia Reichlin
The Review of Economics and Statistics, 2000, vol. 82, issue 4, 540-554
Abstract:
This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We provide identification conditions, propose an estimator of the common components, prove convergence as both time and cross-sectional size go to infinity at appropriate rates, and present simulation results. We use our model to construct a coincident index for the European Union. Such index is defined as the common component of real GDP within a model including several macroeconomic variables for each European country. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (1094)
Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/003465300559037 (application/pdf)
Access to full text is restricted to subscribers.
Related works:
Working Paper: The generalised dynamic factor model: identification and estimation (2000)
Working Paper: The Generalized Dynamic Factor Model: Identification and Estimation (1999) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:tpr:restat:v:82:y:2000:i:4:p:540-554
Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535
Access Statistics for this article
The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu
More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().