Similar Search Results

Dynamic specification tests for static factor models

Fiorentini, Gabriele; Sentana, Enrique - 2009

Persistent link: https://www.econbiz.de/10003914397

Dynamic specification tests for dynamic factor models

Fiorentini, Gabriele; Sentana, Enrique - 2013

Persistent link: https://www.econbiz.de/10010376711

Fast ML estimation of dynamic bifactor models : an application to European inflation

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - 2015

Persistent link: https://www.econbiz.de/10010509651

Fast ML estimation of dynamic bifactor models : an application to European inflation

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - In: Dynamic factor models, (pp. 215-282). 2016

Persistent link: https://www.econbiz.de/10011448666

Fast ML estimation of dynamic bifactor models : an application to European inflation

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - 2015

Persistent link: https://www.econbiz.de/10011408301

Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix

Sentana, Enrique - In: Spanish economic review : SER 1 (1999) 1, pp. 79-90

Persistent link: https://www.econbiz.de/10001463531

An EM algorithm for conditionally heteroscedastic factor models

Dēmos, Antōnēs A. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 357-361

Persistent link: https://www.econbiz.de/10001246504

An EM algorithm for conditionally heteroskedastic factor models

Dēmos, Antōnēs A.; Sentana, Enrique - 1996

Persistent link: https://www.econbiz.de/10000948473

Fast ML Estimation of Dynamic Bifactor Models : An Application to European Inflation

Fiorentini, Gabriele - 2015

We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum...

Persistent link: https://www.econbiz.de/10013014990

Tests for serial dependence in static, non-gaussian factor models

Fiorentini, Gabriele; Sentana, Enrique - 2012

Persistent link: https://www.econbiz.de/10009743569