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Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data

Bańbura, Marta; Modugno, Michele - 2010

In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...

Persistent link: https://www.econbiz.de/10003973189

Maximum likelihood estimation of factor models on datasets with arbitrary pattern of missing data

Bańbura, Marta; Modugno, Michele - In: Journal of applied econometrics 29 (2014) 1, pp. 133-160

Persistent link: https://www.econbiz.de/10010414234

Maximum Likelihood Estimation of Factor Models on Data Sets with Arbitrary Pattern of Missing Data

Bańbura, Marta; Modugno, Michele - 2021

In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...

Persistent link: https://www.econbiz.de/10013316214

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014

Persistent link: https://www.econbiz.de/10010376924

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014

Persistent link: https://www.econbiz.de/10010363298

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - In: International journal of forecasting 31 (2015) 3, pp. 739-756

Persistent link: https://www.econbiz.de/10011474544

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014

Persistent link: https://www.econbiz.de/10010441087

Back to the present: learning about the euro area through a now-casting model

Cascaldi-Garcia, Danilo; Ferreira, Thiago R. T.; … - 2021

Persistent link: https://www.econbiz.de/10012589523

Back to the present : learning about the euro area through a now-casting model

Cascaldi-Garcia, Danilo; Ferreira, Thiago R. T.; … - In: International journal of forecasting 40 (2024) 2, pp. 661-686

Persistent link: https://www.econbiz.de/10014547195

Money and monetary policy : the ECB experience 1999 - 2006

Fischer, Björn; Lenza, Michele; Pill, Huw - In: The role of money : money and monetary policy in the …, (pp. 102-175). 2008

Persistent link: https://www.econbiz.de/10003649149

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