On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model
Econometrics
2025-07-30 v3 Statistics Theory
Statistics Theory
Abstract
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-deterministic.
Cite
@article{arxiv.2410.18159,
title = {On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model},
author = {Philipp Gersing},
journal= {arXiv preprint arXiv:2410.18159},
year = {2025}
}