A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
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References listed on IDEAS
- Forni, Mario & Reichlin, Lucrezia, 1996.
"Dynamic Common Factors in Large Cross-Sections,"
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More about this item
KeywordsFactor models; Principal components; Subspace algorithms;
- 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 fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-04-13 (All new papers)
- NEP-ECM-2003-04-13 (Econometrics)
- NEP-ETS-2003-04-13 (Econometric Time Series)
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