Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - In: The Review of Economics and Statistics 96 (2014) 5, pp. 898-915
We propose an observation-driven dynamic factor model for mixed-measurement and mixed-frequency panel data. Time series observations may come from a range of families of distributions, be observed at different frequencies, have missing observations, and exhibit common dynamics and...