An Order-Invariant Score-Driven Dynamic Factor Model
Year of publication: |
2023
|
---|---|
Authors: | Artemova, Mariia |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Score-driven model | Robust filtering | Factor model | Economic indicators |
Series: | Tinbergen Institute Discussion Paper ; TI 2023-067/III |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 186892288X [GVK] hdl:10419/282880 [Handle] RePEc:tin:wpaper:20230067 [RePEc] |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; c38 |
Source: |
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