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~person:"Berger, Tino"
~person:"Giannone, Domenico"
~person:"Hartung, Joachim"
~subject:"Factor Models"
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Factor Models
principal components
8
large cross-sections
7
Bayesian VAR
6
Kalman filter
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Lasso regression
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Wald and likelihood ratio test statistic
6
linear hypotheses on variance components
6
repeated variance components model
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Theorie
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Zeitreihenanalyse
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Estimation theory
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Schätztheorie
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Unobserved components
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ridge regression
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Bayes-Statistik
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Equilibrium exchange rate
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Estimation
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Invariance
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Minque
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Schätzung
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State space model
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Theory
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Time series analysis
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Variance components
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Wald’s confidence interval
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Zustandsraummodell
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approximate unbiased positive variance estimates
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positive Minque
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unbalanced one-way nested model
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variance components
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Analysis of variance
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Bayesian analysis
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Dynamic factor models
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EM algorithm
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Factor analysis
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Faktorenanalyse
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Importance sampling
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Interest rate
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Maximum likelihood estimation
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Berger, Tino
Giannone, Domenico
Hartung, Joachim
Doz, Catherine
2
Gibson, Heather D.
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Hall, Stephen G.
2
Reichlin, Lucrezia
2
Tavlas, George S.
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Barbarino, Alessandro
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Bura, Efstathia
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Erdemlioglu, Deniz
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Théorie Économique, Modélisation, Application (THEMA), Université de Cergy-Pontoise
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A Two-step estimator for large approximate dynamic factor models based on Kalman filtering
Doz, Catherine
;
Giannone, Domenico
;
Reichlin, Lucrezia
-
Théorie Économique, Modélisation, Application …
-
2006
components
. In the second step, the factors are estimated via the kalman smoother. This projection allows to consider dynamics in …
Persistent link: https://www.econbiz.de/10005523756
Saved in:
2
A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering
Doz, Catherine
;
Giannone, Domenico
;
Reichlin, Lucrezia
-
C.E.P.R. Discussion Papers
-
2007
components
. In the second step, the factors are estimated via the Kalman smoother. This projection allows to consider dynamics in …
Persistent link: https://www.econbiz.de/10005123511
Saved in:
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