A two-step estimator for large approximate dynamic factor models based on Kalman filtering
نویسندگان
چکیده
منابع مشابه
Krylov space approximate Kalman filtering
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2011
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2011.02.012