2 papers
stat.ME2026
The empirical distribution of sequential LS factors in Multi-level Dynamic Factor Models
Gian Pietro Bellocca, Ignacio Garrón, Vladimir RodrÃguez-Caballero +1
The research question we answer in this paper is whether the asymptotic distribution derived by Bai (2003) for Principal Components (PC) factors in dynamic factor models (DFMs) can…
stat.CO2026
FARS: Factor Augmented Regression Scenarios in R
Gian Pietro Bellocca, Ignacio Garrón, Vladimir RodrÃguez-Caballero +1
In the context of macroeconomic/financial time series, the FARS package provides a comprehensive framework in R for the construction of conditional densities of the variable of int…