Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10010509651
Persistent link: https://www.econbiz.de/10010495553
Persistent link: https://www.econbiz.de/10011448666
Persistent link: https://www.econbiz.de/10011408285
Persistent link: https://www.econbiz.de/10011408301
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
Persistent link: https://www.econbiz.de/10012110263
Persistent link: https://www.econbiz.de/10011796062
Persistent link: https://www.econbiz.de/10011799265
We make two complementary contributions to efficiently estimate dynamic factor models: a frequency domain EM algorithm and a swift iterated indirect inference procedure for ARMA models with no asymptotic efficiency loss for any finite number of iterations. Although our procedures can estimate...
Persistent link: https://www.econbiz.de/10012982178