A parametric estimation method for dynamic factor models of large dimensions (Q3077648): Difference between revisions

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+Autocorrelation, autoregression and autoregressive approximation
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+An automatic leading indicator of economic activity: forecasting GDP growth for European countries*
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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+The generalized dynamic factor model consistency and rates
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+REGRESSION, AUTOREGRESSION MODELS
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+Forecasting Using Principal Components From a Large Number of Predictors
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