A parametric estimation method for dynamic factor models of large dimensions
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Cites work
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- An automatic leading indicator of economic activity: forecasting GDP growth for European countries
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Autocorrelation, autoregression and autoregressive approximation
- Forecasting Using Principal Components From a Large Number of Predictors
- REGRESSION, AUTOREGRESSION MODELS
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Cited in
(15)- Common factors and common shocks: a tale of three (close) signal extraction procedures
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Forecasting the industrial production using alternative factor models and business survey data
- Two-step estimation of a factor model in the presence of observable factors
- Time series factor models
- Estimation of dynamic models on the factors of marginal principal component analysis
- Extreme bounds analysis in early warning systems for currency crises
- A spectral EM algorithm for dynamic factor models
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Dynamic semi-parametric factor model for functional expectiles
- Hidden factor estimation in dynamic generalized factor analysis models
- scientific article; zbMATH DE number 7113412 (Why is no real title available?)
- Efficient estimation of nonstationary factor models
- Maximum likelihood estimation for dynamic factor models with missing data
- Factor-GMM estimation with large sets of possibly weak instruments
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