Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

DOI10.1561/0800000039OpenAlexW4312910990MaRDI QIDQ5870780

Pilar Poncela, Esther Ruiz Ortega

Publication date: 23 January 2023

Published in: Foundations and Trends® in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1561/0800000039

zbMATH Keywords

missing observationstime-varying parametersnon-stationarityunobserved componentsMarkov-switchingmulti-levelmixed-frequency

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models

Uses Software

• astsa
• factorcpt

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