A parametric estimation method for dynamic factor models of large dimensions

DOI10.1111/j.1467-9892.2009.00607.xzbMath1223.62097OpenAlexW3122479845MaRDI QIDQ3077648

Massimiliano Marcellino, George Kapetanios

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00607.x

zbMATH Keywords

principal componentssubspace algorithm

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)

Related Items (7)

Extreme bounds analysis in early warning systems for currency crises ⋮ Hidden factor estimation in dynamic generalized factor analysis models ⋮ Forecasting the industrial production using alternative factor models and business survey data ⋮ Factor-GMM estimation with large sets of possibly weak instruments ⋮ Efficient estimation of nonstationary factor models ⋮ Maximum likelihood estimation for dynamic factor models with missing data ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• REGRESSION, AUTOREGRESSION MODELS
• Forecasting Using Principal Components From a Large Number of Predictors

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