Bańbura, Marta; Modugno, Michele - In: Journal of Applied Econometrics 29 (2014) 1, pp. 133-160
SUMMARY In this paper we modify the expectation maximization algorithm in order to estimate the parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing data. We also extend the model to the case with a serially correlated idiosyncratic component. The framework...