A0164
Title: High-dimensional dynamic factor models: A selective survey
Authors: Manfred Deistler - Vienna University of Technology (Austria) [presenting]
Marco Lippi - Universita di Roma La Sapienza (Italy)
Brian Anderson - Canberra ANU (Australia)
Abstract: High-dimensional dynamic factor models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples. In particular, the role of singular ARMA models in the theory and applications of high-dimensional dynamic factor models is discussed. The emphasis is on model classes and their structure theory, rather than on estimation in the narrow sense. The survey is not comprehensive. Its aim is to point out promising lines of research and applications that have not yet been sufficiently developed.
