Fitting dynamic factor models to non-stationary time series
نویسندگان
چکیده
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SONG SONG†, WOLFGANG K. HÄRDLE‡,§ AND YA’ACOV RITOV‡,§ †Department of Mathematics, University of Alabama, 318B Gordon Palmer Hall, Tuscaloosa, AL 35487, USA. E-mail: [email protected] ‡School of Business and Economics, Humboldt-Universität zu Berlin, Unter den Linden 6, D-10099, Berlin, Germany. E-mail: [email protected], [email protected] §Department of Statistics, The Hebrew ...
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This research was supported by the Army, Navy, Air Force and NASA under a contract. administered by the Office of Naval Research, with Yale University; by the National Science Foundation under Grant GU-2059 and the Air Force Office of Scientific Research under Contract AFOSR-68-l4l5 with the University of North Carolina at Chapel Hill. ** The major portion of the research for this paper was don...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2011
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2010.11.007