Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
From MaRDI portal
(Redirected from Publication:790575)
Recommendations
- Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method
- Estimation of dynamic econometric models with errors in variables
- A parametric estimation method for dynamic factor models of large dimensions
- scientific article; zbMATH DE number 1208131
- Dynamic linear models with Markov-switching
Cites work
- scientific article; zbMATH DE number 3947439 (Why is no real title available?)
- scientific article; zbMATH DE number 3179103 (Why is no real title available?)
- scientific article; zbMATH DE number 3709465 (Why is no real title available?)
- scientific article; zbMATH DE number 3727458 (Why is no real title available?)
- scientific article; zbMATH DE number 65796 (Why is no real title available?)
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 3587882 (Why is no real title available?)
- scientific article; zbMATH DE number 3605818 (Why is no real title available?)
- A Note on the Extraction of Components from Time Series
- Estimation of Regression Relationships Containing Unobservable Independent Variables
- Evaluation of likelihood functions for Gaussian signals
- Some identification and estimation results for regression models with stochastically varying coefficients
- Testing for functional misspecification in regression analysis
- The EM Approach to the Multiple Indicators and Multiple Causes Model Via the Estimation of the Latent Variable
- The Identification and Parameterization of Armax and State Space Forms
Cited in
(53)- Identification of causal factor models of stationary time series
- Consistent factor estimation in dynamic factor models with structural instability
- A wavelet approach for factor-augmented forecasting
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm
- Modeling movements in individual consumption: a time-series analysis of grouped data
- Time series factor models
- Maximum likelihood estimation of the dynamic shock-error model
- Estimation of optimal individualized treatment rules using a covariate-specific treatment effect curve with high-dimensional covariates
- Dual time-frequency domain system identification
- Dynamic structural systems under indirect observation: Identifiability and estimation aspects from a system theoretic perspective
- Analytic standard errors for exploratory process factor analysis
- VARs, common factors and the empirical validation of equilibrium business cycle models
- Approximate state space modelling of unobserved fractional components
- Analysis of time series subject to changes in regime
- The kriged Kalman filter. (With discussion)
- Online prediction of Berlin single-family house prices
- A spectral EM algorithm for dynamic factor models
- A full-factor multivariate GARCH model
- Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
- Extensions of estimation methods using the EM algorithm
- Analytical uses of Kalman filtering in econometrics — A survey
- scientific article; zbMATH DE number 7578275 (Why is no real title available?)
- Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
- Improving GDP measurement: a measurement-error perspective
- Nonstationary dynamic factor analysis
- Dynamic linear models with Markov-switching
- A standard error for the estimated state vector of a state-space model
- SEM modeling with singular moment matrices. I: ML-estimation of time series
- Finite mixture modeling of Gaussian regression time series with application to dendrochronology
- SEM modeling with singular moment matrices. III: GLS estimation
- The co-integrated vector autoregression with errors-in-variables
- Post-'87 crash fears in the S\&P 500 futures option market
- A novel algorithm for dynamic factor analysis
- Semiparametric estimation of latent variable asset pricing models
- GARCH-type factor model
- Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
- Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
- State space modeling of time series: A review essay
- The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
- Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method
- Maximum likelihood estimation for dynamic factor models with missing data
- Estimation of vector error correction models with mixed-frequency data
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- An algorithm for the exact Fisher information matrix of vector ARMAX time series
- Mixed-effects state-space models for analysis of longitudinal dynamic systems
- EM-based identification of continuous-time ARMA models from irregularly sampled data
- Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
- Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
- Blind signal separation of mixtures of chaotic processes: a comparison between independent component analysis and state space modeling
- CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS
- A nonlinear time series approach to modelling asymmetry in stock market indexes
- Towards efficient maximum likelihood estimation of LPV-SS models
This page was built for publication: Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q790575)
