More is not always better : back to the Kalman filter in dynamic factor models Working Papers

authors

PONCELA BLANCO, MARIA PILAR
RUIZ ORTEGA, ESTHER

publisher

Universidad Carlos III de Madrid. Departamento de Estadística

publication date

2012

series title

UC3M Working papers. Statistics and Econometrics

full text

http://hdl.handle.net/10016/15782

series number

12-17

subjects

Statistics

keywords

common factors; cross-sectional dimension; filter uncertainty; parameter uncertainty; steady-state