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Ditemukan 1 dari pencarian Anda melalui kata kunci: author=Catherine Doz

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A two-step estimator for large approximate dynamic factor models based on Kal…

Abstract This paper shows consistency of a two step estimation of the factors in a dynamic approximate factor model when the panel of time series is large (n large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are estimated via the Kalman smoother. The analysis develops the theory for the estimator considered…

Edisi: HAL archives-ouvrtes
ISBN/ISSN: -
Deskripsi Fisik: 70 halaman
Judul Seri: A two-step estimator for large approximate dynamic factor models based on Kalman filtering
No. Panggil: ATC PO CAT a

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