A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
Year of publication: |
2003-04
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Authors: | Kapetanios, George ; Marcellino, Massimiliano |
Institutions: | School of Economics and Finance, Queen Mary |
Subject: | Factor models | Principal components | Subspace algorithms |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | A revised version is available at the personal homepage of <a href="http://www.econ.qmul.ac.uk/staff/kapetanios/" target="_parent">George Kapetanios</a>. Number 489 |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E52 - Monetary Policy (Targets, Instruments, and Effects) |
Source: |
-
A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
Kapetanios, George, (2006)
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Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
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