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. |
Published in: |
Economics: The Open-Access, Open-Assessment E-Journal. - Kiel : Kiel Institute for the World Economy (IfW), ISSN 1864-6042. - Vol. 14.2020, 2020-14, p. 1-14
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Publisher: |
Kiel : Kiel Institute for the World Economy (IfW) |
Subject: | Dynamic factor models | EM algorithm | Kalman filter | Principal components |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.5018/economics-ejournal.ja.2020-14 [DOI] 1699273340 [GVK] hdl:10419/219103 [Handle] RePEc:zbw:ifweej:202014 [RePEc] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; c55 ; C87 - Econometric Software |
Source: |
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Lucchetti, Riccardo, (2020)
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A comment on the dynamic factor model with dynamic factors
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