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09-010/4 - Dynamic Factor Analysis in The Presence of Missing Data


  • Authors
    B. Jungbacker, VU University Amsterdam; S.J. Koopman, VU University Amsterdam; M. van der Wel, Erasmus University Rotterdam, and CREATES
  • Publication date
    February 12, 2009
  • Keywords
    High-dimensional vector series; Kalman filtering and smooting; Maximum likelihood; Unbalanced panels of time series
  • JEL
    C33, C43