A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
Author:
Publisher
MIT Press - Journals
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00225
Reference21 articles.
1. Inferential Theory for Factor Models of Large Dimensions
2. Determining the Number of Factors in Approximate Factor Models
3. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
4. Large Dimensional Factor Analysis
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