Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints

DOI10.1111/j.1751-5823.2011.00152.xzbMath1279.62225OpenAlexW1916467285MaRDI QIDQ2889639

Tommaso Proietti

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

zbMATH Keywords

EM algorithmnonlinear state space modelsdynamic factor modelsnonlinear smoothingtemporal disaggregationchain-linkingmonthly GDP

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Temporal disaggregation of economic time series: The view from the trenches ⋮ Estimation of vector error correction models with mixed-frequency data ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Uses Software

• Ox

Cites Work

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• Disturbance smoother for state space models
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• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Temporal disaggregation using multivariate structural time series models
• The Generalized Dynamic Factor Model
• Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints

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