arXiv 23 Oct 2024 · Econometrics
arXiv:2410.18159 · PDF · DOI · OpenAlex · Extracted main text
We show that the common component of the Generalised Dynamic Factor Model (GDFM) can be represented using only current and past observations basically whenever it is purely non-deterministic.
appendix boundary found by appendix_command · 87% of the source is main text. Read the extracted text to check this.
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 | Forni, M. and Lippi, M (2001) The generalized dynamic factor model: representation theory | 0.836 | 12 | 4 | 58% |
| 2 | Gersing, P (2023) Reconciling the Theory of Factor Sequences self | 0.794 | 6 | 3 | 50% |
| 3 | Deistler, M. and Scherrer, W (2022) Time Series Models, volume Lecture Notes in Statistics 224 | 0.737 | 3 | 2 | 100% |
| 4 | Forni, M., Hallin, M., Lippi, M., and Zaffaroni, P (2015) Dynamic factor models with infinite-dimensional factor spaces: One-sided representations | 0.737 | 3 | 2 | 100% |
| 5 | Forni, M., Hallin, M., Lippi, M., and Zaffaroni, P (2017) Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis | 0.737 | 3 | 2 | 100% |
| 6 | Forni, M., Gambetti, L., Lippi, M., and Sala, L (2025) Common components structural VARs | 0.737 | 3 | 2 | 100% |
| 7 | Barigozzi, M., Hallin, M., Luciani, M., and Zaffaroni, P (2024) Inferential theory for generalized dynamic factor models | 0.644 | 2 | 2 | 100% |
| 8 | Deistler, M., Anderson, B. D., Filler, A., Zinner, C., and Chen, W (2010) Generalized linear dynamic factor models: An approach via singular autoregressions | 0.644 | 2 | 2 | 100% |
| 9 | Gersing, P., Barigozzi, M., Rust, C., and Deistler, M (2024) The canonical decompositino of factor models: Weak factors are everywhere self | 0.644 | 2 | 2 | 100% |
| 10 | Lippi, M (2021) Validating DSGE models with SVARS and high-dimensional dynamic factor models | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 34 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | A Distributed Lag Approach to the Generalised Dynamic Factor Model | 0.811 | 4 | 2 |