Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data
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KeywordsDynamic factor models; Principal component estimators; Gibbs sampling.;
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
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