A survey is provided dealing with the formulation of modelling problems for dynamic factor models, and the various algorithm possibilities for solving these modelling problems. Emphasis is placed on understanding requirements for the handling of errors, noting the relevance of the proposed...

During the past decade, high-dimensional factor models have been widely used for structural analysis in the literature, where the effects of structural shocks are often estimated under just-identifying restrictions. However, as the number of restrictions in a factor model setup can be large due...

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...