On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model

Philipp Gersing

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Abstract: We show that the common component of the Generalised Dynamic Factor Model (GDFM) can be represented using only current and past observations basically whenever it is purely non-deterministic.

Date: 2024-10, Revised 2025-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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