A two-step estimator for large approximate dynamic factor models based on Kalman filtering
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Publication:58366
DOI10.1016/J.JECONOM.2011.02.012zbMATH Open1441.62671OpenAlexW2110515654MaRDI QIDQ58366FDOQ58366
Lucrezia Reichlin, Catherine Doz, Domenico Giannone, Catherine Doz, Domenico Giannone, Lucrezia Reichlin
Publication date: September 2011
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.012
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20)
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- When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage
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- Hidden factor estimation in dynamic generalized factor analysis models
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- Analytical approximation to the multidimensional Fokker–Planck equation with steady state
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