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econ.EM2025
Principled Identification of Structural Dynamic Models
Neville Francis, Peter Reinhard Hansen, Chen Tong
We take a new perspective on identification in structural dynamic models: rather than imposing restrictions alone, we optimize an objective. While definitive structural identificat…
math.CV2025
A Unifying Integral Representation of the Gamma Function and Its Reciprocal
Peter Reinhard Hansen, Chen Tong
We derive an integral expression for the reciprocal gamma function, , that is valid for all , without the need for analytic continuation. The…
econ.EM2025
Dynamic Factor Correlation Model
Chen Tong, Peter Reinhard Hansen
We introduce a new dynamic factor correlation model with a novel variation-free parametrization of factor loadings. The model is applicable to high dimensions and can accommodate t…