2019
DOI: 10.2139/ssrn.3509166
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Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space: Identification, Estimation, and Forecasting

Abstract: Os artigos dos Textos para Discussão da Escola de Economia de São Paulo da Fundação GetulioVargas são de inteira responsabilidade dos autores e não refletem necessariamente a opinião da FGV-EESP. É permitida a reprodução total ou parcial dos artigos, desde que creditada a fonte. AbstractGeneral dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in time series and have been successfully applied in many economic and financial applications. However, their performance … Show more

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