Principal components estimation and identification of static factors
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DOI: 10.1016/j.jeconom.2013.03.007
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More about this item
Keywords
Diffusion indices; FAVAR; Rotation; Factor space; Skew-symmetric matrices;All these keywords.
JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
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