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Estimation of FAVAR Models for Incomplete Data with a Kalma..:
Franz Ramsauer
;
Aleksey Min
;
Michael Lingauer
https://dx.doi.org/10.3390/econometrics7030031. , 2019
Link:
https://doi.org/10.3390/econometrics7030031
RT Journal T1
Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components
UL https://suche.suub.uni-bremen.de/peid=base-ftmdpi:oai:mdpi.com:_2225-1146_7_3_31_&Exemplar=1&LAN=DE A1 Franz Ramsauer A1 Aleksey Min A1 Michael Lingauer PB Multidisciplinary Digital Publishing Institute YR 2019 K1 expectation-maximization algorithm K1 factor-augmented vector autoregression model K1 forecast error variance decomposition K1 impulse response function K1 incomplete data K1 Kalman Filter JF https://dx.doi.org/10.3390/econometrics7030031 LK http://dx.doi.org/https://doi.org/10.3390/econometrics7030031 DO https://doi.org/10.3390/econometrics7030031 SF ELIB - SuUB Bremen
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