Dynamic Factors in the Presence of Block Structure
Year of publication: |
2008
|
---|---|
Authors: | Hallin, Marc ; Liska, Roman |
Institutions: | European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management |
Subject: | Panel data | Time series | High dimensional data | Dynamic factor model | Business cycle | Block specific factors | Dynamic principal components | Information criterion |
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