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computer implementation : an overview / Maureen T. Rimmer -- The theory of the MONASH model / Maureen T. Rimmer -- Developing …
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Since the influential paper of Stock and Watson (2002), the dynamic factor model (DFM) has been widely used for forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor model is modified by using the mixed data sampling...
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