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A quasi maximum likelihood approach for large approximate dynamic factor models

Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - 2006

This paper considers quasi-maximum likelihood estimations of a dynamic approximate factor model when the panel of time series is large. Maximum likelihood is analyzed under different sources of misspecification: omitted serial correlation of the observations and cross-sectional correlation of...

Persistent link: https://www.econbiz.de/10011604720

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2006

Persistent link: https://www.econbiz.de/10005136525

A quasi maximum likelihood approach for large approximate dynamic factor models

Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - European Central Bank - 2006

Persistent link: https://www.econbiz.de/10005344907

Identifying and interpreting the factors in factor models via sparsity : different approaches

Despois, Thomas; Doz, Catherine - In: Journal of applied econometrics 38 (2023) 4, pp. 533-555

Persistent link: https://www.econbiz.de/10014288017

Indentifying and interpreting the factors in factor models via sparsity : different approaches

Despois, Thomas; Doz, Catherine - 2022 - This version: March 2, 2022

Persistent link: https://www.econbiz.de/10013207014