1 citations · 1 across the 3 of their papers we have counts for
3 papers
The Canonical Decomposition of Factor Models: Weak Factors are Everywhere
Philipp Gersing, Matteo Barigozzi, Christoph Rust +1
We derive a novel canonical decomposition of factor models encompassing both the static factor model - where factors are loaded only contemporaneously - and the Generalised Dynamic…
Retrieval from Mixed Sampling Frequency: Generic Identifiability in the Unit Root VAR
Philipp Gersing, Leopold Soegner, Manfred Deistler
The "REtrieval from MIxed Sampling" (REMIS) approach based on blocking developed in Anderson et al. (2016a) is concerned with retrieving an underlying high frequency model from mix…
High-dimensional dynamic factor models: a selective survey and lines of future research
Marco Lippi, Manfred Deistler, Brian Anderson
High-Dimensional Dynamic Factor Models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples. In particula…