An order-invariant score-driven dynamic factor model

DOI10.1016/J.JECONOM.2025.106073MaRDI QIDQ6930844zbMATH OpenFDO

Authors Mariia Artemova

Publication date 12 September 2025

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106073

zbMATH Keywords

factor modeleconomic indicatorsrobust filteringscore-driven model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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