Answers are grounded in this paper and cite their sources.
Explains the theory of identification, estimation and inference in the dynamic confirmatory factor model for the economic time series. Derivation of the frequency domain representation of the model; Illustration of the nature of the identification problem for the dynamic confirmatory model; Dynamic confirmatory model of the business cycle motivated by Lucas theory of aggregate activity.
No takes yet. Share an insight, caveat, or question.
Geweke et al. (1981) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: