A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
Year of publication: |
2006-04
|
---|---|
Authors: | Kapetanios, George ; Marcellino, Massimiliano |
Institutions: | C.E.P.R. Discussion Papers |
Subject: | factor models | principal components | subspace algorithms |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 5620 |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E52 - Monetary Policy (Targets, Instruments, and Effects) |
Source: |
-
A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
Kapetanios, George, (2003)
-
Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
Kapetanios, George, (2006)
-
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
Kapetanios, George, (2006)
- More ...
-
Factor based identification-robust inference in IV regressions
Kapetanios, George, (2015)
-
Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
Kapetanios, George, (2006)
-
Forecasting Exchange Rates with a Large Bayesian VAR
Carriero, Andrea, (2008)
- More ...