Identification of causal factor models of stationary time series

Chris Heaton, Victor Solo

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)618-627
Number of pages10
JournalEconometrics Journal
Volume7
Issue number2
DOIs
Publication statusPublished - 2004

Keywords

  • dynamic factor analysis
  • frequency domain models
  • identification
  • time series

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