The Institute for Statistics and Mathematics is pleased to invite you to this semester’s first research seminar, taking place on campus with the following two talks:

• Philipp Gersing (Department of Statistics and Operations Research, University of Vienna)
  A Distributed Lag Approach to the Generalised Dynamic Factor Model
  
  Wednesday, March 11, 2026, 17:15, Building D4, Room D4.0.127
  
  Abstract:
  We propose a new estimator for the Generalised Dynamic Factor Model (GDFM) that simplifies estimation by avoiding frequency-domain methods. Our key theoretical insight shows that the dynamic common component can be represented by a finite number of lags of contemporaneously pervasive factors under general conditions. This result reduces GDFM estimation to a simple OLS regression of observed variables on estimated factors and their lags, with factors obtained via static principal components. The approach naturally accommodates weak (non-pervasive) factors within the dynamic common space, addressing an important limitation of existing methods. We establish consistency and asymptotic normality for both the dynamic and weak common components. An application to a large European macroeconomic dataset demonstrates strong empirical performance and uncovers a sizeable weak common component - particularly in sentiment indicators and several other variables - revealing dynamics that standard methods overlook.

Please note that currently there are no Zoom streams planned for the talks in this semester.
For further information (such as related papers, linked software etc.) and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar