On the consistency of the two-step estimates of the MS-DFM : a Monte Carlo study

Catherine Doz, Anna Petronevich

Year of publication:	[2017]
Authors:	Doz, Catherine ; Petronevich, Anna
Publisher:	Paris : Paris-Jourdan Sciences Economiques
Subject:	Markov-switching \| Dynamic Factor models \| two-step estimation \| small-sample performance \| consistency \| Monte Carlo simulations \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Schätztheorie \| Estimation theory \| Simulation

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