A spectral EM algorithm for dynamic factor models
Year of publication: |
2015-02
|
---|---|
Authors: | Fiorentini, Gabriele ; Galesi, Alessandro ; Sentana, Enrique |
Institutions: | C.E.P.R. Discussion Papers |
Subject: | Indirect inference | Kalman filter | Sectoral employment | Spectral maximum likelihood | Wiener-Kolmogorov filter |
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