Dynamic factor models and fractional integration : with an application to US real economic activity
Year of publication: |
2024
|
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Authors: | Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. ; Piqueras Martinez, Pedro Jose |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 12.2024, 4, Art.-No. 39, p. 1-13
|
Subject: | fractional integration | dynamic factor models | persistence | business cycle | economic activity | Kalman filter | state-space models | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Schätzung | Estimation | Theorie | Theory | Konjunktur | Business cycle | USA | United States | Faktorenanalyse | Factor analysis | Wirtschaftsindikator | Economic indicator |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics12040039 [DOI] |
Classification: | C22 - Time-Series Models ; E32 - Business Fluctuations; Cycles |
Source: | ECONIS - Online Catalogue of the ZBW |
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