Identification Of Causal Factor Models Of Stationary Time Series  

Oleh:

Heaton, Chris ; Solo, Victor

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 7 no. 2 (Dec. 2004), page 618–627.
Topik: Dynamic factor analysis; Frequency domain models; Identification; Time series
Fulltext: 618.pdf (101.72KB)

Isi artikel

We consider identification of a class of dynamic factor model. We show that identification holds under reasonably general conditions. The results apply to many of the dynamic factor models that have appeared in the literature and to many worthwhile generalizations of those models.

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