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The Generalized Dynamic-Factor Model: Identification and Estimation
Open accessAbstract
This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We provide identification conditions, propose an estimator of the common components, prove convergence as both time and cross-sectional size go to infinity at appropriate rates, and present simulation results. We use our model to construct a coincident index for the European Union. Such index is defined as the common component of real GDP within a model including several macroeconomic variables for each European country.
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Metadata
- Authors
- Forni, M., Hallin, M., Lippi, M., & Reichlin, L.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press
- Published
- 2000-11
- Volume
- 82
- Issue
- 4
- Pages
- 540-554
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W1991135386
- Cited by
- 1,709
- References
- 0
- FWCI
- 24.84
- Type
- journal article
- Language
- en
- Open access
- green
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- Forni, M., Hallin, M., Lippi, M., & Reichlin, L. (2000). The Generalized Dynamic-Factor Model: Identification and Estimation. Review of Economics and Statistics. https://doi.org/10.1162/003465300559037
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