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We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...
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-economy estimates of Italy's mark-ups since 1861, based on the new historical national accounts presented in Baffigi (2013) and Giordano … and Zollino (2015). Two key features of Italy's history stand out: a) the increase in market power under the Fascist …
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