Interpolation and backdating with a large information set
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Publication:959707
DOI10.1016/j.jedc.2005.07.010zbMath1162.62445OpenAlexW3121183024MaRDI QIDQ959707
Jérôme Henry, Elena Angelini, Massimiliano Marcellino
Publication date: 12 December 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp252.pdf
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Related Items (2)
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints ⋮ Interpolation and backdating with a large information set
Cites Work
- Are more data always better for factor analysis?
- Interpolation and backdating with a large information set
- Temporal Disaggregation of Time Series: An ARIMA-Based Approach
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
- Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
- Forecasting Using Principal Components From a Large Number of Predictors
- A METHODOLOGICAL NOTE ON THE DISAGGREGATION OF TIME SERIES TOTALS
- Inferential Theory for Factor Models of Large Dimensions
- Adjustment of Monthly or Quarterly Series to Annual Totals: An Approach Based on Quadratic Minimization
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