The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting
Year of publication: |
2003-12-15
|
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Authors: | Forni, Mario ; Hallin, Marc ; Lippi, Marco ; Reichlin, Lucrezia |
Institutions: | Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna |
Subject: | Dynamic factor models | principal components | time series | large cross-sections | panel data | forecasting |
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