A two-step estimator for large approximate dynamic factor models based on Kalman filtering

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Article

A two-step estimator for large approximate dynamic factor models based on Kalman filtering

Catherine Doz - Nama Orang; Lucrezia Reichlin - Nama Orang;

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 in Giannone, Reichlin, and Sala (2004) and Giannone, Reichlin, and Small (2008) and for the many empirical papers using this framework for nowcasting.

Ketersediaan

IPC Corporate University Library ATC PO CAT a

(ATC160074100)

Tersedia

Informasi Detail

Judul Seri: A two-step estimator for large approximate dynamic factor models based on Kalman filtering
No. Panggil: ATC PO CAT a
Penerbit: London : ., 2012
Deskripsi Fisik: 70 halaman
Bahasa: English
ISBN/ISSN: -
Klasifikasi: ATC
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: online resource
Edisi: HAL archives-ouvrtes
Subjek: Security Management Supply Chain
Supply Management
Management shift
Info Detail Spesifik: 70 halaman
Pernyataan Tanggungjawab: Catherine Doz

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