Estimation of factor models by realization-based and approximation methods

In this paper we discuss two methods for the estimation of linear dynamic factor models. The first method is behavioural in nature and consists of the least squares approximation of the observed data by means of a linear system. The second method is based on the statistical concept of principal components and uses subspace ideas from approximate realization theory. The two methods are compared by means of simulated data.

MoreLess

Year of publication:	1998-11-26
Authors:	Scherrer, W. ; Heij, Heij, C.
Institutions:	Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Subject:	Linear system \| behaviour \| model reduction \| principal components \| subspace method \| system identification

More details

Series:	Econometric Institute Research Papers. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:ems:eureir Number EI 9831
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010731587