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...

What is subjective well-being influenced by? Since the Report by the Commission on the Measurement of Economic Performance and Social Progress by Stiglitz, Sen and Fitoussi a huge number of studies has raised this question - with partly different findings. In addition, international...

This paper employs concepts from information theory to choosing the dimension of a data set. We propose a relative information measure connected to Kullback-Leibler numbers. By ordering the series of the data set according to the measure, we are able to obtain a subset of a data set that is most...