DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS
Year of publication: |
2013-06
|
---|---|
Authors: | Fiorentini, Gabriele ; Sentana, Enrique |
Institutions: | Centro de Estudios Monetarios y Financieros (CEMFI) |
Subject: | Kalman filter | LM tests | Spectral maximum likelihood | Wiener-Kolmogorov filter |
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