-time data flow as well as parameter uncertainty and time-varying volatility. In addition, we develop a fast estimation algorithm …

Among a variety of small area estimation methods, one popular approach for the estimation of linear and non …-linear indicators is the empirical best predictor. However, parameter estimation using standard maximum likelihood methods is not … is often the case for income variables. Therefore, this work proposes an estimation method, which enables the estimation …

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly … estimation with sparse priors on the loadings matrix. The choice of a sparse prior is an extension to the existing macroeconomic … majority of the variables in both datasets are irrelevant for factor estimation. -- Factor models ; variable selection ; sparse …

easily integrated into Bayesian estimation procedures like the Gibbs sampler. By allowing for incomplete data sets, the …

This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero …