We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel data. The model exploits both serial and cross-sectional information in the data and can easily cope with time-variation in conditional means and variances, as well as with either...

We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel data. The model exploits both serial and cross-sectional information in the data and can easily cope with time-variation in conditional means and variances, as well as with either...

We study the business cycle properties of the four largest euro area economies in the wake of the recent recession episodes. The analysis is based on the factors estimated from a multi-country and multi-sector data-rich environment. We measure alikeness of business cycles by studying the...

We study the business cycles properties of the four largest European economies in the wake of the recent recession episodes. The analysis is based on the factors estimated from a multi-country and multi-sector data rich environment. We measure alikeness of business cycles by studying the...