Showing 1 - 10 of 25
Persistent link: https://www.econbiz.de/10003490434
Persistent link: https://www.econbiz.de/10011289217
Persistent link: https://www.econbiz.de/10011289241
Persistent link: https://www.econbiz.de/10011348429
Persistent link: https://www.econbiz.de/10011487491
Persistent link: https://www.econbiz.de/10010483698
Persistent link: https://www.econbiz.de/10009270591
We propose a new time-varying Generalized Dynamic Factor Model for high-dimensional, locally stationary time series. Estimation is based on dynamic principal component analysis jointly with singular VAR estimation, and extends to the locally stationary case the one-sided estimation method...
Persistent link: https://www.econbiz.de/10012850235
Persistent link: https://www.econbiz.de/10012614627
Persistent link: https://www.econbiz.de/10012619427