Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series
- Resource Type
- article
- Authors
- Marc Hallin
- Source
- Econometrics, Vol 10, Iss 4, p 37 (2022)
- Subject
- high-dimensional time series
general dynamic factor model
spiked covariance model
reduced-rank process
Economics as a science
HB71-74
- Language
- English
- ISSN
- 2225-1146
For more than half a century, Manfred Deistler has been contributing to the construction of the rigorous theoretical foundations of the statistical analysis of time series and more general stochastic processes. Half a century of unremitting activity is not easily summarized in a few pages. In this short note, we chose to concentrate on a relatively little-known aspect of Manfred’s contribution that nevertheless had quite an impact on the development of one of the most powerful tools of contemporary time series and econometrics: dynamic factor models.