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| Main Author: | |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2410.18159 |
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| _version_ | 1866912506100842496 |
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| author | Gersing, Philipp |
| author_facet | Gersing, Philipp |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_18159 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model Gersing, Philipp Econometrics Statistics Theory 91B84 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. |
| title | On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model |
| topic | Econometrics Statistics Theory 91B84 |
| url | https://arxiv.org/abs/2410.18159 |