A two-step estimator for large approximate dynamic factor models based on Kalman filtering
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Publication:58366
DOI10.1016/j.jeconom.2011.02.012zbMath1441.62671OpenAlexW2110515654MaRDI QIDQ58366
Lucrezia Reichlin, Domenico Giannone, Catherine Doz, Catherine Doz, Domenico Giannone, Lucrezia Reichlin
Publication date: September 2011
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.012
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25)
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