1 citations · 1 across the 5 of their papers we have counts for
5 papers
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…
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…
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…
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…