23-021/III - A Multilevel Factor Model for Economic Activity with Observation-Driven Dynamic Factors

  • Authors
    Mariia Artemova, Vrije Universiteit Amsterdam; Francisco Blasques, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam
  • Publication date
    April 20, 2023
  • Keywords
    Dynamic factor model, Interconnectedness, Output growth
  • JEL
    C22, C32, C38, C51
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