A two-step estimator for large approximate dynamic factor models based on Kalman filtering (Q58366)
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scientific article; zbMATH DE number 6616663
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| English | A two-step estimator for large approximate dynamic factor models based on Kalman filtering |
scientific article; zbMATH DE number 6616663 |
Statements
164
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1
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188-205
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September 2011
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12 August 2016
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A two-step estimator for large approximate dynamic factor models based on Kalman filtering (English)
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factor models
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Kalman filter
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principal components
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large cross-sections
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