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

Philipp Gersing

Papers from arXiv.org

Abstract: We consider the Generalised Dynamic Factor Model (GDFM) under the assumption that the dynamic common component is purely non-deterministic. We show that, under thisassumption, the common shocks - and consequently, the dynamic common component - can be represented in terms of current and past observed variables. This generalises existing results on the so-called "One-Sidedness Problem" of the GDFM.

Date: 2024-10, Revised 2025-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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