Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components (Q5870780)

scientific article; zbMATH DE number 7644938

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English	Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components	scientific article; zbMATH DE number 7644938

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scholarly article

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title

Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components (English)

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Foundations and Trends® in Econometrics

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publication date

23 January 2023

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zbMATH Keywords

Markov-switching

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missing observations

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mixed-frequency

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multi-level

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non-stationarity

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time-varying parameters

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unobserved components

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describes a project that uses

astsa

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factorcpt

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1561/0800000039

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Identifiers

DOI

10.1561/0800000039

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5870780