A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering
Year of publication: |
2007-01
|
---|---|
Authors: | Doz, Catherine ; Giannone, Domenico ; Reichlin, Lucrezia |
Institutions: | C.E.P.R. Discussion Papers |
Subject: | Factor Models | Kalman filter | large cross-sections | principal components |
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