Interpolation and backdating with a large information set
From MaRDI portal
Publication:959707
DOI10.1016/j.jedc.2005.07.010zbMath1162.62445MaRDI 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
62P20: Applications of statistics to economics
62H25: Factor analysis and principal components; correspondence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
91B84: Economic time series analysis
Related Items
Interpolation and backdating with a large information set, Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints
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