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