A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
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- George Kapetanios & Massimiliano Marcellino, 2009. "A parametric estimation method for dynamic factor models of large dimensions," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 208-238, March.
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More about this item
Keywords
Factor models; Principal components; Subspace algorithms;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-04-22 (Econometrics)
- NEP-ETS-2006-04-22 (Econometric Time Series)
- NEP-MAC-2006-04-22 (Macroeconomics)
Statistics
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