The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series

Matteo Barigozzi and Marc Hallin

No 2024-14, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: Several fundamental and closely interconnected issues related to factor models are reviewed and discussed: dynamic versus static loadings, rate-strong versus rate-weak factors, the concept of weakly common component recently introduced by Gersing et al. (2023), the irrelevance of cross-sectional ordering and the assumption of cross-sectional exchangeability, and the problem of undetected strong factors.

Keywords: Dynamic factor models; Weak factors; Cross-sectional exchangeability (search for similar items in EconPapers)
Pages: 25 p.
Date: 2024-08
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Citations: View citations in EconPapers (1)

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Working Paper: The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series (2025)
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