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Mean square errors of factors extracted using principal components, linear projections, and Kalman filter
M. Barigozzi, D. Fresoli, E. Ruiz
arXiv:2601.04087.v1
Jan 2026
The canonical decomposition of factor models: weak factors are everywhere
P. Gersing, M. Barigozzi, C. Rust, M. Deistler
arXiv:2307.10067.v2
Mar 2025
Predicting energy demand with tensor factor models
M. Banin, M. Barigozzi, L.Trapin
arXiv:2502.06213.v1
Feb 2025
Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering
M. Barigozzi, L.Trapin
arXiv:2502.04112.v2
May 2025
Measuring the euro area output gap
M. Barigozzi, C. Lissona, M. Luciani
arXiv:2505.05536.v2
Nov 2025
Large datasets for the euro area and its member countries and the dynamic effects of the common monetary policy
M. Barigozzi, C. Lissona, L. Tonni
arXiv:2410.05082.v2
Nov 2025
Codes
Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm
M. Barigozzi, M. Luciani
arXiv:1910.03821.v5
Sep 2024
Codes
Principal component analysis for high-dimensional approximate factor models in time series: assumptions, asymptotic theory, and identification
M. Barigozzi
arXiv:2211.01921.v6
Feb 2026
Robust tensor factor analysis
M. Barigozzi, Y. He, L. Li, L. Trapani
arXiv:2303.18163.v2 Aug 2023
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