Showing 1 - 10 of 568
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/10000888670
Persistent link: https://www.econbiz.de/10000889470
Persistent link: https://www.econbiz.de/10000890793
Persistent link: https://www.econbiz.de/10000897382
Persistent link: https://www.econbiz.de/10000898469