3 papers
econ.EM2024
A Distributed Lag Approach to the Generalised Dynamic Factor Model
Philipp Gersing
We propose a simple estimator for the dynamic decomposition of the Generalized Dynamic Factor Model that avoids frequency-domain methods. First, we show that it is a reasonable app…
econ.EM2024
On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model
Philipp Gersing
We show that the common component of the Generalised Dynamic Factor Model (GDFM) can be represented using only current and past observations basically whenever it is purely non-det…
econ.EM2024
Actually, There is No Rotational Indeterminacy in the Approximate Factor Model
Philipp Gersing
We show that in the approximate factor model the population normalised principal components converge in mean square (up to sign) under the standard assumptions for . C…