Consistency of Generalized Dynamic Principal Components in Dynamic Factor Models

2017/10/30 by Ezequiel Smucler, Smucler, Ezequiel
Computer Science · Economics, Econometrics and Finance · Mathematics · #Bayesian Methods and Mixture Models #FOS: Mathematics #Spatial and Panel Data Analysis #Statistical Methods and Bayesian Inference #Statistics Theory (math.ST) #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1710.11286

openalex publication_date 2017/10/30 · arxiv created 2017/10/31 · arxiv updated 2017/11/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study the theoretical properties of the generalized dynamic principal components introduced in Peña and Yohai (2016). In particular, we prove that when the data follows a dynamic factor model, the reconstruction provided by the procedure converges in mean square to the common part of the model as the number of series and periods diverge to infinity. The results of a simulation study support our findings.

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