This week's Statistics Seminar Speaker will be Marc Hallin from the European Center for Advanced Research in Economics and Statistics (ECARES), Université libre de Bruxelles and ORFE, Princeton University.
Talk Title: One-Sided Representation of Generalized Dynamic Factor Models
Abstract: Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various models which all are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forni, Hallin, Lippi and Reichlin (2000). In that paper, however, estimation relies on Brillinger’s concept of dynamic principal components, which produces filters that are in general two-sided and therefore yield poor performances at the end of the observation period and hardly can be used for prediction purposes. In this talk, we show how to remedy this problem, and how, based on recent results on singular stationary processes with rational spectra, one-sided estimators can be constructed for the parameters and the common shocks in the GDFM. Consistency is obtained, along with rates. An empirical example, based on US macroeconomic time series, compares estimates based on our model with those based on the usual static-representation restriction, and provides convincing evidence that the assumptions underlying the latter are not supported by the data.(Based on joint work with M. Forni, M. Lippi, and P. Zaffaroni.)
Refreshments will be served after the seminar in 1181 Comstock Hall.