Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks

Citations

Cited by:

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19. Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
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