A dynamic factor model for economic time series

@article{FernndezMacho1997ADF,
  title={A dynamic factor model for economic time series},
  author={F. Javier Fern{\'a}ndez-Macho},
  journal={Kybernetika},
  year={1997},
  volume={33},
  pages={583-606}
}
A dynamic factor model is introduced which may be viewed as an alternative to vector autoregressions in the treatment of cointegration. An obvious way of introducing dynamics in the standard factor analysis is to allow a realization of the common factors at a specific time interval to work its way through to the observed variables in several time periods. A… CONTINUE READING