Dimension Reduction in Time Series and the Dynamic Factor Model Articles uri icon

publication date

  • June 2009

start page

  • 494

end page

  • 496

issue

  • 2

volume

  • 96

international standard serial number (ISSN)

  • 1464-3510

electronic international standard serial number (EISSN)

  • 0006-3444

abstract

  • This note shows that the dimension reduction method proposed by Li & Shedden