A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)
Year of publication: |
2020
|
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Authors: | Lucchetti, Riccardo ; Venetis, Ioannis A. |
Publisher: |
Kiel : Kiel Institute for the World Economy (IfW) |
Subject: | dynamic factor models | EM algorithm | Kalman filter | principal components |
Series: | Economics Discussion Papers ; 2020-5 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1692248596 [GVK] hdl:10419/214842 [Handle] RePEc:zbw:ifwedp:20205 [RePEc] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; c55 ; C87 - Econometric Software |
Source: |
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A comment on the dynamic factor model with dynamic factors
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