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14-105/III - Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models


  • Authors
    Francisco Blasques; Siem Jan Koopman; Max Mallee, VU University Amsterdam, the Netherlands
  • Publication date
    August 11, 2014
  • Keywords
    Asymptotic theory, Forecasting, Kalman filter, Nowcasting, State space
  • JEL
    C13, C32, C53, E17