Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints
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Publication:2889639
DOI10.1111/j.1751-5823.2011.00152.xzbMath1279.62225MaRDI QIDQ2889639
Publication date: 8 June 2012
Published in: International Statistical Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1751-5823.2011.00152.x
EM algorithm; nonlinear state space models; dynamic factor models; nonlinear smoothing; temporal disaggregation; chain-linking; monthly GDP
62P20: Applications of statistics to economics
62H30: Classification and discrimination; cluster analysis (statistical aspects)
91B82: Statistical methods; economic indices and measures
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