2 papers
econ.EM2024
The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series
Matteo Barigozzi, Marc Hallin
Several fundamental and closely interconnected issues related to factor models are reviewed and discussed: dynamic versus static loadings, rate-strong versus rate-weak factors, the…
econ.EM2023
Dynamic Factor Models: a Genealogy
Matteo Barigozzi, Marc Hallin
Dynamic factor models have been developed out of the need of analyzing and forecasting time series in increasingly high dimensions. While mathematical statisticians faced with infe…