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Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series

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  • Geweke, John F
  • Singleton, Kenneth J

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Bibliographic Info

Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 22 (1981)
Issue (Month): 1 (February)
Pages: 37-54

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Handle: RePEc:ier:iecrev:v:22:y:1981:i:1:p:37-54

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Cited by:
  1. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  2. Chris Heaton & Victor Solo, 2000. "Dynamic Factor Analysis with ARMA Factors," Econometric Society World Congress 2000 Contributed Papers 0145, Econometric Society.
  3. Paul Boothe & Debra Glassman, 1988. "Alternative Tests of International Asset Substitutability," UCLA Economics Working Papers 463, UCLA Department of Economics.
  4. Ortega, Jose Antonio & Poncela, Pilar, 2005. "Joint forecasts of Southern European fertility rates with non-stationary dynamic factor models," International Journal of Forecasting, Elsevier, vol. 21(3), pages 539-550.
  5. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers.
  6. Stef Buuren, 1997. "Fitting arma time series by structural equation models," Psychometrika, Springer, vol. 62(2), pages 215-236, June.
  7. Tommaso, Proietti & Alessandra, Luati, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," MPRA Paper 39600, University Library of Munich, Germany.
  8. Roberto Tatiwa Ferreira & Luiz Ivan de Melo Castelar, 2005. "Forecasting Quarterly Brazilian Gdp Growth Rate With Linear And Nonlinear Diffusion Index Models," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  9. Ruey Yau, 2004. "Macroeconomic Forecasting with Independent Component Analysis," Econometric Society 2004 Far Eastern Meetings 741, Econometric Society.
  10. Pedro Galeano & Daniel Peña, 2001. "Multivariate Analysis In Vector Time Series," Statistics and Econometrics Working Papers ws012415, Universidad Carlos III, Departamento de Estadística y Econometría.

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