Showing 71 - 80 of 10,475
Persistent link: https://www.econbiz.de/10012991367
Persistent link: https://www.econbiz.de/10013165545
Persistent link: https://www.econbiz.de/10013421478
Persistent link: https://www.econbiz.de/10013360719
We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...
Persistent link: https://www.econbiz.de/10011309972
Persistent link: https://www.econbiz.de/10010466872
Persistent link: https://www.econbiz.de/10013166420
Persistent link: https://www.econbiz.de/10013378309
Persistent link: https://www.econbiz.de/10000539775