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)
Roberto Renò (ESSEC Business School, France)
Andrew Nobel (University of North Carolina, United States)
Stanislav Anatolyev (CERGE-EI, Czech Republic)
Andrii Babii (The University of North Carolina at Chapel Hill, United States)
Faculty: Finn-Ole Höner (Erasmus University Rotterdam)
Christian T. Brownlees (LUISS Guido Carli, Italy)
Daniel Lewis (University College London, United Kingdom)
Jiti Gao (Monash University, Australia)
Mark Podolskij (University of Luxembourg)
Xiaolin Sun (University of Manchester, United Kingdom)
Robin Lumsdaine (American University Washington, United States and Erasmus University Rotterdam)
Daniel Wilhelm (LMU Munich, Germany)
Federico Crudu (University of Siena, Italy)
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)