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- W1530551527 abstract "We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually correlated innovations. The new results lead to computationally efficient procedures for the estimation of the factors and parameter estimation by maximum likelihood and Bayesian methods. An illustration is provided for the analysis of a large panel of macroeconomic time series. See also the publication in 'The Econometrics Journal' , 2015, 18(2), C1-C21." @default.
- W1530551527 created "2016-06-24" @default.
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- W1530551527 date "2008-01-01" @default.
- W1530551527 modified "2023-10-02" @default.
- W1530551527 title "Likelihood-based Analysis for Dynamic Factor Models" @default.
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