Travail de recherche/Working paper
Titre:
  • A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models
Auteur:Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia
Statut de publication:Publié, 2008
series:ECARES Working papers, 2008_034
Sujet CREF:Economie
Sujet JEL:Model Construction and Estimation
Multiple or Simultaneous Equation Models: Time-Series Models
Multiple or Simultaneous Equation Models: Models with Panel Data
Volumes/pages:28 p.
Mots-clés:Factor Model
large cross-sections
Quasi Maximum Likelihood
Langue:Anglais
Identificateurs:RePEc:eca:wpaper:2008_034

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