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08-007/4 - Likelihood-based Analysis for Dynamic Factor Models


  • Authors
    Borus Jungbacker, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam
  • Publication date
    January 17, 2008
  • Keywords
    EM algorithm; Kalman Filter; Forecasting; Latent Factors; Markov chain Monte Carlo; Principal Components; State Space
  • JEL
    C33; C43