Matteo Barigozzi, Matteo Luciani
arXiv 22 Oct 2019 · Econometrics · 3 citations (OpenAlex)
arXiv:1910.09841 · PDF · DOI · OpenAlex · Extracted main text
This paper considers estimation of large dynamic factor models with common and idiosyncratic trends by means of the Expectation Maximization algorithm, implemented jointly with the Kalman smoother. We show that, as the cross-sectional dimension $n$ and the sample size $T$ diverge to infinity, the common component for a given unit estimated at a given point in time is $\min(\sqrt n,\sqrt T)$-consistent. The case of local levels and/or local linear trends trends is also considered. By means of a MonteCarlo simulation exercise, we compare our approach with estimators based on principal component analysis.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Barigozzi, M. and M. Luciani (2019) Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm self | 1.000 | 15 | 4 | 100% |
| 2 | Barigozzi, M., M. Lippi, and M. Luciani (2019) Large-dimensional dynamic factor models: Estimation of impulse-response functions with $I(1)$ cointegrated factors self | 1.000 | 14 | 6 | 100% |
| 3 | Bai, J. and S. Ng (2004) A PANIC attack on unit roots and cointegration | 1.000 | 14 | 5 | 100% |
| 4 | Bai, J (2004) Estimating cross-section common stochastic trends in nonstationary panel data | 1.000 | 8 | 4 | 100% |
| 5 | Barigozzi, M. and M. Luciani (2019) Measuring the output gap using large datasets self | 0.644 | 2 | 2 | 100% |
| 6 | Harvey, A. C (1990) Forecasting, structural time series models and the Kalman filter | 0.644 | 2 | 2 | 100% |
| 7 | Sims, C., J. H. Stock, and M. W. Watson (1990) Inference in linear time series models with some unit roots | 0.644 | 2 | 2 | 100% |
| 8 | Stock, J. H. and M. W. Watson (1988) Testing for common trends | 0.644 | 2 | 2 | 100% |
| 9 | Hamilton, J. D (1994) Time Series Analysis | 0.585 | 3 | 1 | 100% |
| 10 | Antsaklis, P. J. and A. M. Michel (2007) A Linear Systems Primer | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 34 scored citations.