The Generalized Factor Model: Identification and Estimation

By M. Forni, Marc Hallin, Marco Lippi, L. Reichlin. 2000

246 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0664202ebefa6a6e426c6096d7ab7ccaa9b72179

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Citations in the corpus

Forecasting with Many Predictors (2006, methodology): “Forni et al. (2000, 2004) study the properties of this algorithm and the estimator of the common component of Xit in a DFM, λi(L)′ft , when n is large.”
Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns (2005, unknown): “This approach is exemplified in work by Lee and Pesaran (1993) , Conley and Dupor (2003) , Conley and Topa (2002) and Pesaran, Schuermann, and”
Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling (2009, unknown): “In a recent article, Forni and Reichlin (1998) suggested the use of a generalized dynamic factor model to describe the dynamics of sectoral industrial output and productivity for the U.”
Panel Vector Autoregressive Models: A Survey (2013, unknown): “…in the applied macroeconometric literature because they capture the idea that the comovements present in a large set of series may be driven by a small number of latent variables, and because they are relatively easy to specify and estimate (Forni et al., 2000 and 2005; Stock and Watson, 2002).”
Forecasting in dynamic factor models subject to structural instability (2009, background): “factors ( Forni, Lippi, Hallin, and Reichlin [2000] , Stock and Watson [2002a, 2002b], and”
Generalized Shrinkage Methods for Forecasting Using Many Predictors (2012, methodology): “…WATSON Woodrow Wilson School and Department of Economics, Bendheim Hall, Princeton University, Princeton, NJ (mwatson@Princeton.edu) This article provides a simple shrinkage representation that describes the operational characteristics of various forecasting methods designed for a large number…”
Reference cycles: the NBER methodology revisited (2000, background): “Forni and Lippi (1999) show that if conditions (iii) and (iv) on the eigenvalues of the x’s are satisfied, then the generalized dynamic factor representation (5) does exist and, conversely, if (5) holds, then (iii) and (iv) are satisfied.”
A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets (2010, methodology): “This is the same model used in a series of articles by Forni, Hallin, Lippi, and Reichlin, such as, e.g., Forni et al. (2000, 2004), and is referred to as the generalized dynamic factor model.”
Markov-switching dynamic factor models in real time (2018, background): “…FACTOR MODELS IN REAL TIME Maximo Camacho, Gabriel Perez-Quiros and Pilar Poncela Documentos de Trabajo N.º 1205 2012 Electronic copy available at: http://ssrn.com/abstract=2002667 MARKOV-SWITCHING DYNAMIC FACTOR MODELS IN REAL TIME Electronic copy available at: http://ssrn.com/abstract=2002667”
A parametric estimation method for dynamic factor models of large dimensions (2009, methodology): “…of Chamberlain and Rotschild (1983), the subsequent literature has constrained the idiosyncratic errors non-parametrically, by imposing moment restrictions and/or constraints on the eigenvalues of their variance–covariance matrix (see, e.g. Stock and Watson, 2001, 2002 or Forni et al., 1999, 2000).”
A Core Inflation Indicator for the Euro Area (2005, methodology): “The method we propose builds on Forni et al. (2000, 2002).”
DYNAMIC FACTOR MODELS (2018, background): “distribution (Johnstone (2001)); this finding means that one need not use the exact Wishart distribution, which depends on (N, T).”
Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016, unknown): “Forni et al. (2000) showed identification and consistency of the dynamic PC estimator of the common component (a frequency-domain method that entails two-sided smoothing).”