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Aggregate versus disaggregate information in dynamic factor models
Álvarez, Rocío; Camacho, Maximo; Pérez-Quirós, Gabriel - In: International journal of forecasting 32 (2016) 3, pp. 680-694
Persistent link: https://www.econbiz.de/10011621772
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Inference on filtered and smoothed probabilities in Markov-switching autoregressive models
Álvarez, Rocío; Camacho, Maximo; Ruiz Marín, Manuel - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 484-495
Persistent link: https://www.econbiz.de/10012178190
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Finite sample performance of small versus large scale dynamic factor models
Álvarez, Rocío; Camacho, Maximo; Pérez-Quirós, Gabriel - 2012
Persistent link: https://www.econbiz.de/10011716155