GLS Estimation of Dynamic Factor Models (Q3111206)

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GLS Estimation of Dynamic Factor Models
scientific article

    Statements

    title
    GLS Estimation of Dynamic Factor Models (English)
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    author
    Jörg Breitung
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    Jörn Tenhofen
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    publication date
    18 January 2012
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    zbMATH Keywords
    generalized least squares
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    heteroscedasticity
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    principal components
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    serial correlation
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    Identifiers

    Mathematics Subject Classification ID
    62H25
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    62H12
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    62E20
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    65C05
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    zbMATH DE Number
    5998629
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