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econ.EM2023★ 1 cited
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…
econ.EM2022
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…