TY - JOUR
T1 - High-Dimensional Dynamic Factor Models
T2 - A Selective Survey and Lines of Future Research
AU - Lippi, Marco
AU - Deistler, Manfred
AU - Anderson, Brian
N1 - Publisher Copyright:
© 2022 The Authors
PY - 2023/4
Y1 - 2023/4
N2 - High-Dimensional Dynamic Factor Models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples. In particular, the role of singular ARMA models in the theory and applications of High-Dimensional Dynamic Factor Models is discussed. The emphasis is on model classes and their structure theory, rather than on estimation in the narrow sense. The survey is not comprehensive. Its aim is to point out promising lines of research and applications that have not yet been sufficiently developed.
AB - High-Dimensional Dynamic Factor Models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples. In particular, the role of singular ARMA models in the theory and applications of High-Dimensional Dynamic Factor Models is discussed. The emphasis is on model classes and their structure theory, rather than on estimation in the narrow sense. The survey is not comprehensive. Its aim is to point out promising lines of research and applications that have not yet been sufficiently developed.
KW - Dynamic factor models
KW - High-dimensional vector processes
KW - Singular ARMA vector processes
KW - State-space representations
UR - http://www.scopus.com/inward/record.url?scp=85128851175&partnerID=8YFLogxK
U2 - 10.1016/j.ecosta.2022.03.008
DO - 10.1016/j.ecosta.2022.03.008
M3 - Article
SN - 2452-3062
VL - 26
SP - 3
EP - 16
JO - Econometrics and Statistics
JF - Econometrics and Statistics
ER -