On the consistency of the two-step estimates of the MS-DFM: a Monte Carlo study
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- Catherine Doz & Anna Petronevich, 2017. "On the consistency of the two-step estimates of the MS-DFM: a Monte Carlo study," Working Papers halshs-01592863, HAL.
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Cited by:
- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
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- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
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More about this item
Keywords
Markov-switching; Dynamic Factor models; two-step estimation; small-sample performance; consistency; Monte Carlo simulations;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-12-18 (Econometrics)
- NEP-ETS-2017-12-18 (Econometric Time Series)
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