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 …

constrained estimation produces a quantitative model with both reasonable asset-pricing as well as business-cycle implications. …

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 …

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