Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components (Q5870780)
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scientific article; zbMATH DE number 7644938
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| English | Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components |
scientific article; zbMATH DE number 7644938 |
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Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components (English)
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23 January 2023
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Markov-switching
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missing observations
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mixed-frequency
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multi-level
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non-stationarity
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time-varying parameters
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unobserved components
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