A two-step estimator for large approximate dynamic factor models based on Kalman filtering

Journal of Econometrics

Volumn 164, Issue 1, 2011, Pages 188-205

  Doz, Catherine ^a,b   Giannone, Domenico ^c,d   Reichlin, Lucrezia ^d,e  

^a PARIS SCHOOL OF ECONOMICS   (France)

^b UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

^c UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^d CEPR   (United Kingdom)

^e LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Factor models; Kalman filter; Large cross sections; Principal components

Indexed keywords

DYNAMIC FACTOR MODELS; FACTOR MODEL; KALMAN SMOOTHER; KALMAN-FILTERING; LARGE CROSS-SECTIONS; NOWCASTING; PRINCIPAL COMPONENTS;

ESTIMATION; KALMAN FILTERS; TIME SERIES;

PRINCIPAL COMPONENT ANALYSIS;

EID: 79960364553     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.02.012     Document Type: Article

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