Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
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More about this item
Keywords
EM Algorithm;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-01-30 (Econometrics)
- NEP-ETS-2023-01-30 (Econometric Time Series)
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