State-Varying Factor Models of Large Dimensions
نویسندگان
چکیده
Markus Pelger* & Ruoxuan XiongDepartment of Management Science Engineering, Stanford University, Huang, Stanford, CA
منابع مشابه
Dynamic Factor Models of Large Dimensions A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new methodology for estimating factors from large datasets based on state space models, discuss its theoretical properties and compare its performance with that of two alternative estimation approaches ...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2021
ISSN: ['1537-2707', '0735-0015']
DOI: https://doi.org/10.1080/07350015.2021.1927744