The generalized dynamic factor model: One-sided estimation and forecasting
Year of publication: |
2003
|
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Authors: | Forni, Mario ; Hallin, Marc ; Lippi, Marco ; Reichlin, Lucrezia |
Publisher: |
Pisa : Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM) |
Subject: | Zeitreihenanalyse | Theorie | dynamic factor models | principal components | time series | large cross-sections | panel data | forecasting |
Series: | LEM Working Paper Series ; 2003/13 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 39130769X [GVK] hdl:10419/89471 [Handle] RePEc:ssa:lemwps:2003/13 [RePEc] |
Classification: | C13 - Estimation ; C33 - Models with Panel Data ; C43 - Index Numbers and Aggregation |
Source: |
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