全球智库信息集成服务系统(G2TT): DP10618 Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis

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来源类型	Discussion paper
规范类型	论文
来源ID	DP10618
	DP10618 Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis
	Marco Lippi; Marc Hallin; Mario Forni; Paolo Zaffaroni
发表日期	2015-05-24
出版年	2015
语种	英语
摘要	Factor models, all particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forni, Hallin, Lippi and Reichlin (2000), have become extremely popular in the theory and practice of large panels of time series data. The asymptotic properties (consistency and rates) of the corresponding estimators have been studied in Forni, Hallin, Lippi and Reichlin (2004). Those estimators, however, rely on Brillinger's dynamic principal components, and thus involve two-sided filters, which leads to rather poor forecasting performances. No such problem arises with estimators based on standard (static) principal components, which have been dominant in this literature. On the other hand, the consistency of those static estimators requires the assumption that the space spanned by the factors has finite dimension, which severely restricts the generality afforded by the GDFM. This paper derives the asymptotic properties of a semiparametric estimator of the loadings and common shocks based on one-sided filters recently proposed by Forni, Hallin, Lippi and Zaffaroni (2015). Consistency and exact rates of convergence are obtained for this estimator, under a general class of GDFMs that does not require a finite-dimensional factor space. A Monte Carlo experiment corroborates those theoretical results and demonstrates the excellent performance of those estimators in out-of-sample forecasting.
主题	International Macroeconomics
关键词	Consistency and rates. Generalized dynamic factor models. High -dimensional time series. One-sided representations of dynamic factor models. Vector processes with singular spectral density
URL	https://cepr.org/publications/dp10618
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/539450
推荐引用方式 GB/T 7714	Marco Lippi,Marc Hallin,Mario Forni,et al. DP10618 Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis. 2015.