A state-space approach to time-varying reduced-rank regression

DOI10.1080/07474938.2022.2073743OpenAlexW4281639818MaRDI QIDQ5867576

Efstathia Bura, Barbara Brune, Wolfgang Scherrer

Publication date: 14 September 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2022.2073743

zbMATH Keywords

Kalman filtertime-varying parametersEM-algorithmvector error correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Uses Software

• astsa
• bvarsv
• imputeTS

Cites Work

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