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

Reichlin, L, Doz, C and Giannone, D (2011) A two-step estimator for large approximate dynamic factor models based on Kalman filtering. Journal of Econometrics, 164 (1). pp. 188-205.

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Item Type: Article
Subject Areas: Economics
Date Deposited: 16 May 2016 13:25
Last Modified: 18 Jul 2018 16:03
URI: http://lbsresearch.london.edu/id/eprint/257
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