SOME CONVERGENCE RESULTS ON DYNAMIC FACTOR MODELS
SOME CONVERGENCE RESULTS ON DYNAMIC FACTOR MODELS
Author(s): Maddalena CavicchioliSubject(s): Economy
Published by: ASERS Publishing
Keywords: dynamic factor model; fundamentalness; identification; estimation; consistency; convergence.
Summary/Abstract: We review some recent papers on a large dynamic factor model (LDFM) and its applications to structural macroeconomic analysis. Then we prove some convergence results concerning with the stochastic variables which define such a model.
Journal: Theoretical and Practical Research in Economic Fields (TPREF)
- Issue Year: II/2011
- Issue No: 04
- Page Range: 120-131
- Page Count: 12
- Language: English
- Content File-PDF
