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Search: subject:"Factor augmented vector autoregression model"
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expectation-maximization algorithm
VAR-Modell
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Disaggregated Prices
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Factor-Augmented Vector Autoregression Model (FAVAR)
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factor-augmented vector autoregression model
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impulse response function
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Lingauer, Michael
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Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components
Ramsauer, Franz
;
Min, Aleksey
;
Lingauer, Michael
- In:
Econometrics
7
(
2019
)
3
,
pp. 1-43
This article extends the
Factor-Augmented
Vector
Autoregression
Model
(FAVAR) to mixed-frequency and incomplete panel …
Persistent link: https://www.econbiz.de/10012696246
Saved in:
2
Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components
Ramsauer, Franz
;
Min, Aleksey
;
Lingauer, Michael
- In:
Econometrics : open access journal
7
(
2019
)
3/31
,
pp. 1-43
This article extends the
Factor-Augmented
Vector
Autoregression
Model
(FAVAR) to mixed-frequency and incomplete panel …
Persistent link: https://www.econbiz.de/10012161533
Saved in:
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