Monache, Davide Delle; Petrella, Ivan; Venditti, Fabrizio - In: Dynamic factor models, (pp. 539-565). 2016
We analyze the interaction among the common and country-specific components for the inflation rates in 12 euro area countries through a factor model with time-varying parameters. The variation of the model parameters is driven by the score of the predictive likelihood, so that, conditionally on...
