Fitting dynamic factor models to non-stationary time series

47 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Locally Stationary Processes (2011, background): “(1995) for linear processes where the innovations have heavy tailed distributions, by Fox and Taqqu (1986) for long range dependent processes and by Robinson (1995) to construct semiparametric estimates for long range dependent processes.”
Consistently determining the number of factors in multivariate volatility modelling (2015, methodology): “However, Eichler et al. (2011) made a careful analysis and found one factor model would not be enough.”
State-Varying Factor Models of Large Dimensions (2018, unknown): “Su and Wang (2017) and Eichler et al. (2011) use a local kernel estimator in the time dimension to study gradual changes.”