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Common time variation of parameters in reduced-form macroeconomic models
Stevanovic, Dalibor, (2016)
Is there a missing factor? : a canonical correlation approach to factor models
Ahn, Seung Chan, (2018)
Heterogeneous switching in FAVAR models
Guérin, Pierre, (2022)
Factor extraction in dynamic factor models : Kalman filter versus principal components
Ruiz, Esther, (2022)
Dynamic factor models : does the specification matter?
Miranda, Karen, (2022)
Determining the number of factors after stationary univariate transformations
Corona, Francisco, (2017)