The Generalized Dynamic Factor Model
Top Cited Papers
- 1 September 2005
- journal article
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 100 (471) , 830-840
- https://doi.org/10.1198/016214504000002050
Abstract
This article proposes a new forecasting method that makes use of information from a large panel of time series. Like earlier methods, our method is based on a dynamic factor model. We argue that ou...Keywords
This publication has 1 reference indexed in Scilit:
- Inferential Theory for Factor Models of Large DimensionsEconometrica, 2003