Paper by Mariia Artemova has been published in the Journal of Econometrics
The paper ‘An order-invariant score-driven dynamic factor model' by candidate fellow and alumna Mariia Artemova (Erasmus University Rotterdam) has been published in the Journal of Econometrics. The research paper was initially the job market paper of Mariia.
In this study, Mariia introduces a novel score-driven dynamic factor model designed for filtering cross-sectional co-movements in panels of time series. The model allows the update of the factors to be potentially nonlinear and robust to outliers. Parameter identification is ensured through an orthogonality constraint on the loadings, which is invariant to the ordering of the series, and estimation is performed using maximum likelihood on Stiefel manifolds. In the paper, Mariia derives the asymptotic properties of the estimator, confirms favorable finite-sample performance through simulations, and demonstrates the empirical relevance of the model by constructing indices of economic activity. The results highlight the importance of robustness during periods of sharp downturns, such as the COVID-19 recession.
Article citation
Mariia Artemova, ‘An order-invariant score-driven dynamic factor model', Journal of Econometrics, Volume 251, 2025, doi.org/10.1016/j.jeconom.2025.106073
About
Mariia is an Assistant Professor (tenure-track) at the Econometric Institute, at Erasmus University Rotterdam. She obtained her PhD in Econometrics from the Vrije Universiteit Amsterdam and Tinbergen Institute under the supervision of research fellows Francisco Blasques and Siem Jan Koopman. Mariia is also an alumnus of Tinbergen Institute's research master's program in Economics. .
Her research interests are in time series analysis, financial and macroeconometrics.