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

Reichlin, L and 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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Official URL: http://linkinghub.elsevier.com/retrieve/pii/S03044...
Item Type: Article
Subject Areas: Economics
DOI: 10.1016/j.jeconom.2011.02.012
Date Deposited: 16 May 2016 13:25
Last Modified: 16 May 2016 13:25
URI: http://lbsresearch.london.edu/id/eprint/257

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