Maximum likelihood estimation for dynamic factor models with missing data

Journal of Economic Dynamics and Control

Volumn 35, Issue 8, 2011, Pages 1358-1368

  Jungbacker, B ^a   Koopman, S J ^a,b   van der Wel, M ^b,c,d  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b TINBERGEN INSTITUTE   (Netherlands)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^d CREATES ^*  (Denmark)

Author keywords

High dimensional vector series; Kalman filtering and smoothing; Unbalanced panels of time series

Indexed keywords

EID: 79957678221     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2011.03.009     Document Type: Article

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