272 citations · 850 across the 27 of their papers we have counts for
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econ.EM2018★ 44 cited
Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals
Matteo Barigozzi, Marc Hallin
Volatilities, in high-dimensional panels of economic time series with a dynamic factor structure on the levels or returns, typically also admit a dynamic factor decomposition. We c…
stat.ME2018★ 11 cited
Consistent estimation of high-dimensional factor models when the factor number is over-estimated
Matteo Barigozzi, Haeran Cho
A high-dimensional -factor model for an -dimensional vector time series is characterised by the presence of a large eigengap (increasing with ) between the -th and the…
stat.ME2018★ 1 cited
Determining the dimension of factor structures in non-stationary large datasets
Matteo Barigozzi, Lorenzo Trapani
We propose a procedure to determine the dimension of the common factor space in a large, possibly non-stationary, dataset. Our procedure is designed to determine whether there are…