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This paper concerns estimating parameters in a high-dimensional dynamic factormodel by the method of maximum likelihood. To accommodate missing data in theanalysis, we propose a new model representation for the dynamic factor model. Itallows the Kalman filter and related smoothing methods to...
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-sectional and panel data and compares the classical and Bayesian estimation methods. We outline the error covariance structure in a … the predicted with the observed values. -- interpolation ; spatial panel econometrics ; MCMC ; spatial Chow-Lin ; missing …
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