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14-061/III - Empirical Bayes Methods for Dynamic Factor Models

  • Authors
    Siem Jan Koopman; Geert Mesters, VU University Amsterdam
  • Publication date
    May 23, 2014
  • Keywords
    Importance sampling, Kalman filtering, Likelihood-based analysis, Posterior modes, Rao-Blackwellization, Shrinkage
  • JEL
    C32, C43
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