model. This model has a clear dynamic interpretation. Further, the method does not require iterative estimation techniques …

This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero …

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly … estimation with sparse priors on the loadings matrix. The choice of a sparse prior is an extension to the existing macroeconomic … majority of the variables in both datasets are irrelevant for factor estimation. -- Factor models ; variable selection ; sparse …