Showing 1 - 10 of 6,499
Persistent link: https://www.econbiz.de/10010466872
Persistent link: https://www.econbiz.de/10003656528
Persistent link: https://www.econbiz.de/10001538969
Persistent link: https://www.econbiz.de/10001163266
Persistent link: https://www.econbiz.de/10011736857
Persistent link: https://www.econbiz.de/10013425793
Persistent link: https://www.econbiz.de/10000412336
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/10013166420