Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
Diego Fresoli, Pilar Poncela, Esther Ruiz
| Year of publication: |
2023
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|---|---|
| Authors: | Fresoli, Diego ; Poncela, Pilar ; Ruiz, Esther |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 230.2023, p. 1-5
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| Subject: | EM algorithm | Kalman filter | Principal components | State-space model | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Faktorenanalyse | Factor analysis | Prognoseverfahren | Forecasting model | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2023.111246 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014460331