A two-step estimator for large approximate dynamic factor models based on Kalman filtering
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- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
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Cited in
(67)- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Two-step estimation of a factor model in the presence of observable factors
- Factor estimation using MCMC-based Kalman filter methods
- Two sample tests for high-dimensional autocovariances
- Real-time nowcasting of nominal GDP with structural breaks
- Inference for large dimensional factor models under general missing data patterns
- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- The vector error correction index model: representation, estimation and identification
- Constructing high frequency economic indicators by imputation
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- When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage
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- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Hidden factor estimation in dynamic generalized factor analysis models
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