Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints
DOI10.1111/J.1467-9876.2006.00536.XzbMATH Open1490.62475OpenAlexW2076260212MaRDI QIDQ5757828FDOQ5757828
Tommaso Proietti, Filippo Moauro
Publication date: 7 September 2007
Published in: Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9876.2006.00536.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
Cites Work
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Cited In (6)
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Real-time nowcasting of nominal GDP with structural breaks
- Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts
- Title not available (Why is that?)
- Estimation of vector error correction models with mixed-frequency data
- Estimation of common factors under cross-sectional and temporal aggregation constraints
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