Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints

DOI10.1111/J.1467-9876.2006.00536.XMaRDI QIDQ5757828zbMATHzbMATHOpenAlexFDO

Authors 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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 1447423 (Why is no real title available?)
• A simple and efficient simulation smoother for state space time series analysis
• Diagnosing Shocks in Time Series
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• Missing observations in ARIMA models: Skipping approach versus additive outlier approach
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• Sequential Monte Carlo Methods in Practice
• Statistical algorithms for models in state space using SsfPack 2.2
• Time series analysis by state space methods

Cited in

(11)

• Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts
• Estimation of common factors under cross-sectional and temporal aggregation constraints
• The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• A coincident index for the state of the economy
• scientific article; zbMATH DE number 5310519 (Why is no real title available?)
• Choosing a dynamic common factor as a coincident index
• Real-time nowcasting of nominal GDP with structural breaks
• Estimation of vector error correction models with mixed-frequency data
• Monthly employment indicators of the euro area and larger member states: real-time analysis of indirect estimates
• Estimation of common factors under cross-sectional and temporal aggregation constraints: Nowcasting monthly GDP and its main components

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• Ox

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