Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering
Matteo Barigozzi (University of Bologna, Italy)
- Erasmus Econometric Institute Series
Matteo Barigozzi (University of Bologna, Italy)
Nestor Parolya (TU Delft)
Stanislav Anatolyev (CERGE-EI, Czech Republic)
Christian T. Brownlees (LUISS Guido Carli, Italy)
Mark Podolskij (University of Luxembourg)
Daniel Wilhelm (LMU Munich, Germany)
Giulia Livieri (London School of Economics and Political Science, United Kingdom)
Alberto Abadie (Massachusetts Institute of Technology, United States)
André Santos (CUNEF Universidad, Spain)
Iván Fernández-Val (Boston University, United States)
Marina Friedrich (Vrije Universiteit Amsterdam)