On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model

• Tác giả: Philipp Gersing
• Ngôn ngữ: eng
• Ký hiệu phân loại: 511.34 Model theory
• Thông tin xuất bản: 2024
• Bộ sưu tập: Metadata
• ID: 204570

Tóm tắt

We consider the Generalised Dynamic Factor Model (GDFM) under the assumption that the dynamic common component is purely non-deterministic. We show that, under thisassumption, the common shocks - and consequently, the dynamic common component - can be represented in terms of current and past observed variables. This generalises existing results on the so-called "One-Sidedness Problem" of the GDFM.