Wavelet estimation for dynamic factor models with time-varying loadings

Duván Humberto Cataño, Carlos Vladimir Rodríguez-Caballero and Daniel Peña

Year of publication:	[2019]
Authors:	Cataño, Duván Humberto ; Rodríguez-Caballero, Carlos Vladimir ; Peña, Daniel
Publisher:	Aarhus, Denmark : Department of Economics and Business Economics, Aarhus University
Subject:	Factor models \| wavelet functions \| generalized least squares \| electricity prices and loads \| Zustandsraummodell \| State space model \| Faktorenanalyse \| Factor analysis \| Strompreis \| Electricity price \| Schätztheorie \| Estimation theory \| Kleinste-Quadrate-Methode \| Least squares method

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