Modelling large dimensional datasets with Markov switching factor models

DOI10.1016/J.JECONOM.2024.105919MaRDI QIDQ7011725zbMATH OpenFDO

Authors Matteo Barigozzi, Daniele Massacci

Publication date 18 March 2025

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

zbMATH Keywords

principal component analysisMarkov switchinglarge factor modelregime changesBaum-Lindgren-Hamilton-Kim filter and smoother

Mathematics Subject Classification ID

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

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