Advanced Search
MyIDEAS: Login

Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series

Contents:

Author Info

  • Geweke, John F
  • Singleton, Kenneth J

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://links.jstor.org/sici?sici=0020-6598%28198102%2922%3A1%3C37%3AML%22FAO%3E2.0.CO%3B2-N&origin=repec
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

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

as in new window
Handle: RePEc:ier:iecrev:v:22:y:1981:i:1:p:37-54

Contact details of provider:
Postal: 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297
Phone: (215) 898-8487
Fax: (215) 573-2057
Email:
Web page: http://www.econ.upenn.edu/ier
More information through EDIRC

Order Information:
Email:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0020-6598

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Ruey Yau, 2004. "Macroeconomic Forecasting with Independent Component Analysis," Econometric Society 2004 Far Eastern Meetings 741, Econometric Society.
  2. Sy-Miin Chow & Guangjian Zhang, 2013. "Nonlinear Regime-Switching State-Space (RSSS) Models," Psychometrika, Springer, vol. 78(4), pages 740-768, October.
  3. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, School of Economics and Management, University of Aarhus.
  4. Roberto Tatiwa Ferreira & Herman Bierens & Ivan Castelar, 2005. "Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 6(3), pages 261-292.
  5. Siem Jan Koopman & Michel van der Wel, 2011. "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers 11-063/4, Tinbergen Institute.
  6. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers.
  7. Stef Buuren, 1997. "Fitting arma time series by structural equation models," Psychometrika, Springer, vol. 62(2), pages 215-236, June.
  8. Luati, Alessandra & Proietti, Tommaso, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Working Papers 02 BAWP, University of Sydney Business School, Discipline of Business Analytics.
  9. 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.
  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.
  11. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
  12. Chris Heaton & Victor Solo, 2000. "Dynamic Factor Analysis with ARMA Factors," Econometric Society World Congress 2000 Contributed Papers 0145, Econometric Society.
  13. Paul Boothe & Debra Glassman, 1988. "Alternative Tests of International Asset Substitutability," UCLA Economics Working Papers 463, UCLA Department of Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ier:iecrev:v:22:y:1981:i:1:p:37-54. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.