A parametric estimation method for dynamic factor models of large dimensions

Journal of Time Series Analysis

Volumn 30, Issue 2, 2009, Pages 208-238

  Kapetanios, George ^a,b   Marcellino, Massimiliano ^a  

^a EUROPEAN UNIVERSITY INSTITUTE   (Italy)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Factor models; Principal components; Subspace algorithms

Indexed keywords

EID: 62549140553     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2009.00607.x     Document Type: Article

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