arXiv 28 Oct 2024 · Econometrics
arXiv:2410.20885 · PDF · DOI · OpenAlex · Extracted main text
We provide estimation and inference for the Generalised Dynamic Factor Model (GDFM) under the assumption that the dynamic common component can be expressed in terms of a finite number of lags of contemporaneously pervasive factors. The proposed estimator is simply an OLS regression of the observed variables on factors extracted via static principal components and therefore avoids frequency domain techniques entirely.
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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 | Gersing, Philipp and Barigozzi, Matteo and Rust, Christoph and Deist… (2023) Weak Factors are Everywhere self | 1.000 | 7 | 3 | 100% |
| 2 | Chamberlain, Gary and Rothschild, M (1983) Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets | 1.000 | 5 | 3 | 100% |
| 3 | Forni, Mario and Lippi, Marco (2001) The generalized dynamic factor model: representation theory | 0.874 | 6 | 2 | 100% |
| 4 | Bai, Jushan and Ng, Serena (2006) Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions | 0.874 | 5 | 2 | 100% |
| 5 | Gersing, Philipp (2026) On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model self | 0.811 | 4 | 2 | 100% |
| 6 | Barigozzi, Matteo (2022) Principal Component Analysis for High-Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and… | 0.754 | 7 | 3 | 43% |
| 7 | Deistler, Manfred and Scherrer, Wolfgang (2022) Time Series Models | 0.737 | 4 | 3 | 50% |
| 8 | Gersing, Philipp (2023) Reconciling the Theory of Factor Sequences self | 0.737 | 3 | 2 | 100% |
| 9 | Onatski, Alexei (2012) Asymptotics of the principal components estimator of large factor models with weakly influential factors | 0.737 | 3 | 2 | 100% |
| 10 | Bai, Jushan and Ng, Serena (2002) Determining the number of factors in approximate factor models | 0.644 | 2 | 2 | 100% |
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