[Statlist] Séminaire institut de statistique le 26 février 2008

[ISTAT Messagerie]

SEMINAIRE DE STATISTIQUE

Université de Neuchâtel

Institut de Statistique,

Pierre à Mazel, 7

(1er étage, salle 110), Neuchâtel

http://www2.unine.ch/statistics

 

Mardi 26 février 2008, 11h00

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Prof. Marc Hallin, Université libre de Bruxelles, Institut de Recherche en Statistique, ECARES, Bruxelles



Title : The General Dynamic Factor Model: Determining the Number of Factors





In this talk we briefly present the general dynamic factor developed by Forni et al. (2000) for the analysis of large panels of time series data. Although developed in an econometric context, this method is likely to applyin all fields where a very large number of interrelated time series or signals are observed simultaneously. We then consider the problem of identifying the number q of factors driving the panel. The criterion we propose is based on the fact that this  number q is also the number of diverging eigenvalues of the spectral density matrix of the observations as the cross-sectional dimension n goes to infinity. We provide sufficient conditions for consistency of the criterion for large n and  T (where T is the series length). We show how the method can be implemented, and provide simulations and empirics illustrating its excellent finite sample performance. Application to real data brings some new contribution in the ongoing debate on the number of factors driving the US economy.



References



Forni,M., M. Hallin, M. Lippi, and L. Reichlin (2000). The generalized dynamic factor model: identification and estimation. The Review of Economics and Statistics 82, 540-554.



Hallin, M. And R.Liska(2007). The generalized dynamic factor model: determining the number of factors. Journal of the American Statistical Association 102, 603-617.

Vous pouvez consulter le programme des séminaires de l'institut de statistique sur la page http://www2.unine.ch/statistics/page19813.html




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