Search Results - subject:"panels of time series"

Dynamic factor analysis in the presence of missing data

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2011

This paper concerns estimating parameters in a high-dimensional dynamic factormodel by the method of maximum likelihood. To accommodate missing data in theanalysis, we propose a new model representation for the dynamic factor model. Itallows the Kalman filter and related smoothing methods to...

Persistent link: https://www.econbiz.de/10011377572

Dynamic Factor Analysis in The Presence of Missing Data

Jungbacker, B.; Koopman, S.J.; van der Wel, M. - 2009

Persistent link: https://www.econbiz.de/10010325649

Dynamic Factor Analysis in The Presence of Missing Data

Jungbacker, B.; Koopman, S.J.; Wel, M. van der - Tinbergen Institute - 2009

This paper concerns estimating parameters in a high-dimensional dynamic factor

Persistent link: https://www.econbiz.de/10005144458

Dynamic Factor Analysis in The Presence of Missing Data

Jungbacker, B.; Koopman, S.J.; Wel, M. van der - Tinbergen Instituut - 2009

Persistent link: https://www.econbiz.de/10011256438

Seasonality on non-linear price effects in scanner-data based market-response models

Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 2005

Scanner data for fast moving consumer goods typically amount to panels of time series where both N and T are large. To …

Persistent link: https://www.econbiz.de/10010837954

Seasonality on non-linear price effects in scanner-data based market-response models

Fok, D.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2005

Scanner data for fast moving consumer goods typically amount to panels of time series where both N and T are large. To … for fast moving consumer goods typically amount to panels of time series where both N and T are large. To reduce the … brands for about 8 years of weekly data shows the merits of our approach. Key words: Panels of time series; Weekly …

Persistent link: https://www.econbiz.de/10004991091