Identification of causal factor models of stationary time series

Chris Heaton; Victor Solo

doi:10.1111/j.1368-423X.2004.00146.x

Identification of causal factor models of stationary time series

Chris Heaton, Victor Solo

Department of Economics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	618-627
Number of pages	10
Journal	Econometrics Journal
Volume	7
Issue number	2
DOIs	https://doi.org/10.1111/j.1368-423X.2004.00146.x
Publication status	Published - 2004

Keywords

dynamic factor analysis
frequency domain models
identification
time series

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10.1111/j.1368-423X.2004.00146.x

Cite this

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title = "Identification of causal factor models of stationary time series",

abstract = "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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KW - dynamic factor analysis

KW - frequency domain models

KW - identification

KW - time series

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DO - 10.1111/j.1368-423X.2004.00146.x

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EP - 627

JO - Econometrics Journal

JF - Econometrics Journal

SN - 1368-4221

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Identification of causal factor models of stationary time series

Abstract

Keywords

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