Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data

DOI10.1016/j.jeconom.2016.04.014zbMath1431.62587OpenAlexW2383501875MaRDI QIDQ726598

M. Mallee, Z. Zhang, Francisco Blasques, Siem Jan Koopman

Publication date: 12 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.014

zbMATH Keywords

Kalman filterasymptotic theorystate spacenowcasting

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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