Year: 2008
Type: preprint
Abstract: We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables.The latent factors are modelled by stochastic processes.The idiosyncratic disturbances are specified as autoregressive processes with mutually correlated innovations.The new results lead to computationally efficient procedures for the estimation of the factors and parameter estimation by maximum likelihood and Bayesian methods.An illustration is provided for the analysis of a large panel of macroeconomic time series.
Authors: Borus Jungbacker, Siem Jan Koopman
Institution: Tinbergen Institute
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1530551527