Pages that link to "Item:Q58366"
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The following pages link to A two-step estimator for large approximate dynamic factor models based on Kalman filtering (Q58366):
Displaying 7 items.
- Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models (Q6093785) (← links)
- When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage (Q6190731) (← links)
- The sparse dynamic factor model: a regularised quasi-maximum likelihood approach (Q6494410) (← links)
- Testing for parameter changes in linear state space models (Q6579702) (← links)
- Shrinkage Estimation of Factor Models With Global and Group-Specific Factors (Q6617732) (← links)
- Testing Nowcast Monotonicity with Estimated Factors (Q6626289) (← links)
- Dynamic Effects of Credit Shocks in a Data-Rich Environment (Q6626301) (← links)