Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification

DOI10.1016/j.jeconom.2018.11.008zbMath1452.62411OpenAlexW2900466660WikidataQ128991133 ScholiaQ128991133MaRDI QIDQ1740344

Christian Schumacher, Sylvia Kaufmann

Publication date: 30 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.11.008

zbMATH Keywords

rotationlarge datasetex-post processingfactor interpretationfactor order permutation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (6)

Bayesian Computation in Dynamic Latent Factor Models ⋮ Bayesian Approaches to Shrinkage and Sparse Estimation ⋮ A flexible predictive density combination for large financial data sets in regular and crisis periods ⋮ Comparing stochastic volatility specifications for large Bayesian VARs ⋮ High-dimensional conditionally Gaussian state space models with missing data ⋮ Editorial introduction on complexity and big data in economics and finance: recent developments from a Bayesian perspective

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