A state-space approach to time-varying reduced-rank regression
Barbara Brune, Wolfgang Scherrer, and Efstathia Bura
| Year of publication: |
2022
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|---|---|
| Authors: | Brune, Barbara ; Scherrer, Wolfgang ; Bura, Efstathia |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 41.2022, 8, p. 895-917
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| Subject: | EM-algorithm | Kalman filter | time-varying parameters | vector error correction model | Zustandsraummodell | State space model | Kointegration | Cointegration | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Schätzung | Estimation | Regressionsanalyse | Regression analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2022.2073743 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013364916