Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
نویسندگان
چکیده
منابع مشابه
Generalized Dynamic Factor Models Structure Theory and Estimation for Single Frequency and Mixed Frequency Data
The thesis deals with the theory of Generalized Dynamic Factor Models. These models have been introduced about 10 years ago by two groups simultaneously and have been discussed intensively since then. The reason why this model class attracts so many different research groups is, that it is, up to now, the most general class of factor models. The new aspect of these models is, that the spectrum ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2479172