High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research

IF 2 Q2 ECONOMICS

Econometrics and Statistics Pub Date : 2023-04-01 DOI:10.1016/j.ecosta.2022.03.008

Marco Lippi , Manfred Deistler , Brian Anderson

引用次数: 10

Abstract

High-Dimensional Dynamic Factor Models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples. In particular, the role of singular ARMA models in the theory and applications of High-Dimensional Dynamic Factor Models is discussed. The emphasis is on model classes and their structure theory, rather than on estimation in the narrow sense. The survey is not comprehensive. Its aim is to point out promising lines of research and applications that have not yet been sufficiently developed.

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高维动态因子模型：选择性综述和未来研究方向

详细介绍了高维动态因子模型：主要假设及其动机、主要结果，并通过实例进行了说明。特别讨论了奇异ARMA模型在高维动态因子模型理论和应用中的作用。重点是模型类及其结构理论，而不是狭义的估计。这项调查并不全面。其目的是指出尚未充分发展的有前景的研究和应用领域。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometrics and Statistics ECONOMICS-

CiteScore

3.10

自引率

10.50%

发文量

期刊介绍： Econometrics and Statistics is the official journal of the networks Computational and Financial Econometrics and Computational and Methodological Statistics. It publishes research papers in all aspects of econometrics and statistics and comprises of the two sections Part A: Econometrics and Part B: Statistics.