Forecasting macroeconomic variables using collapsed dynamic factor analysis
Year of publication: |
2014
|
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Authors: | Bräuning, Falk ; Koopman, Siem Jan |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 30.2014, 3, p. 572-584
|
Subject: | Kalman filter | Maximum likelihood method | Principal components | State space dynamic factor model | Zustandsraummodell | State space model | Faktorenanalyse | Factor analysis | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Wirtschaftsindikator | Economic indicator | Monte-Carlo-Simulation | Monte Carlo simulation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Theorie | Theory |
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