Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models
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Cited by:
- Lucchetti, Riccardo & Venetis, Ioannis A., 2020.
"A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012),"
Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 14, pages 1-14.
- Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy (IfW).
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This paper has been announced in the following NEP Reports:- NEP-ECM-2019-10-28 (Econometrics)
- NEP-ETS-2019-10-28 (Econometric Time Series)
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