SOME CONVERGENCE RESULTS ON DYNAMIC FACTOR MODELS

  • Maddalena CAVICCHIOLI University of Venice, Italy Advanced School of Economics

Abstract

We review some recent papers on a large dynamic factor model (LDFM) and its applications to structural macroeconomic analysis. Then we prove some convergence results concerning with the stochastic variables which define such a model.

References

[1] Bai, J., and Ng, S., 2002. Determining the number of factors in approximate factor models, Econometrica 70(1):191-221.
[2] Bai, J., and Ng, S., 2007. Determining the number of primitive shocks in factor models, Journal of Business and Economic Statistics, 25: 52-60.
[3] Chamberlain, G., and Rothschild, M., 1983. Arbitrage, factor structure and mean-variance analysis in large asset markets, Econometrics, 51: 1305-1324.
[4] Forni, M., Giannone, D., Lippi, M., and Reichlin, L. 2009. Opening the black box: structural factor models with large cross-sections, Econometric Theory, 25: 1319-1347.
[5] Forni, M., and Gambetti, L., 2010. The dynamic effects of monetary policy: a structural factor model approach, Journal of Monetary Economics, 57: 203-216.
[6] Forni, M., Hallin, M., Lippi, M., and Reichlin, L. 2000. The generalized dynamic factor model: identification and estimation, The Review of Economics and Statistics, 82: 540-554.
[7] Forni, M., and Lippi, M., 2001. The generalized dynamic factor model: representation theory, Econometric Theory, 17: 1113-1141.
[8] Onastski, A., 2009. Testing hypotheses about the number of factors in large factor models, manuscript, Columbia University, 2009.
[9] Rozanov, Y., Stationary Random Process, Holden Day, San Francisco, USA, 1967.
[10] Stock, J., and Watson, M. 2005. Implications of dynamic factor models for VAR analysis, NBER Working Papers, No.11467.
Published
2011-12-31
How to Cite
CAVICCHIOLI, Maddalena. SOME CONVERGENCE RESULTS ON DYNAMIC FACTOR MODELS. Theoretical and Practical Research in Economic Fields, [S.l.], v. 2, n. 2, p. 120-131, dec. 2011. ISSN 2068-7710. Available at: <https://journals.aserspublishing.eu/tpref/article/view/1098>. Date accessed: 04 jan. 2025.
Citation Formats
Issue
Vol 2 No 2 (2011): TPREF, Volume II, Issue 2(4), Winter 2011
Section
Articles

Non-Exclusive License under Attribution 4.0 International Public License (CC BY 4.0):

This ‘Article’ is distributed under the terms of the license CC-BY 4.0., which lets others distribute, remix, adapt, and build upon this article, even commercially, as long as they credit this article for the original creation. ASERS Publishing will be acknowledged as the first publisher of the Article and a link to the appropriate bibliographic citation (authors, article title, volume issue, page numbers, DOI, and the link to the Published Article on ASERS Publishing’ Platform) must be maintained.