Lucchetti, Riccardo; Venetis, Ioannis A. - In: Economics: The Open-Access, Open-Assessment E-Journal 14 (2020) 2020-14, pp. 1-14
The authors replicate and extend the Monte Carlo experiment presented in Doz, Giannone and Reichlin (A Quasi-Maximum Likelihood Approach For Large, Approximate Dynamic Factor Models, Review of Economics and Statistics, 2012) on alternative (time-domain based) methods for extracting dynamic...
