On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model
We consider the Generalised Dynamic Factor Model (GDFM) under the assumption that the dynamic common component is purely non-deterministic. We show that, under thisassumption, the common shocks - and consequently, the dynamic common component - can be represented in terms of current and past observed variables. This generalises existing results on the so-called "One-Sidedness Problem" of the GDFM.
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