Forecasting macroeconomic variables using collapsed dynamic factor analysis

International Journal of Forecasting

Volumn 30, Issue 3, 2014, Pages 572-584

  Bräuning, Falk ^a   Koopman, Siem Jan ^a  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Kalman filter; Maximum likelihood method; Principal components; State space dynamic factor model

Indexed keywords

EID: 84902278205     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2013.03.004     Document Type: Article

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