Generalized linear dynamic factor models - A structure theory

Anderson, B. D.O.; Deistler, M.

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Generalized linear dynamic factor models - A structure theory

Date

2008

Authors

Anderson, B. D.O.

Deistler, M.

Abstract

In this paper we present a structure theory for generalized linear dynamic factor models (GDFM's). Emphasis is laid on the so-called zeroless case. GDFM's provide a way of overcoming the "curse of dimensionality" plaguing multivariate time series modelling, provided that the single time series are similar. They are used in modelling and forecasting for financial and macroeconomic time series.