Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints
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Publication:5757828
DOI10.1111/j.1467-9876.2006.00536.xzbMath1490.62475OpenAlexW2076260212MaRDI QIDQ5757828
Tommaso Proietti, Filippo Moauro
Publication date: 7 September 2007
Published in: Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9876.2006.00536.x
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (5)
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints ⋮ Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts ⋮ Real-time nowcasting of nominal GDP with structural breaks ⋮ Estimation of vector error correction models with mixed-frequency data ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
Uses Software
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