A parametric estimation method for dynamic factor models of large dimensions

By George Kapetanios, Massimiliano Marcellino. 2009

97 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3d1c82832d7ce7929c1b4b5a5dd04254490efe69

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Anindya Banerjee
2. Massimiliano Marcellino
3. In Choi
4. Igor Masten
5. Karim Barhoumi
6. Olivier Darné
7. Jushan Bai
8. Laurent Ferrara

Citations in the corpus

• Are Disaggregate Data Useful for Factor Analysis in Forecasting French GDP (2010, methodology): “2Another dynamic factor model approach have been proposed byKapetanios (2004), Camba-Mendez and Kapetanios (2005) and Kapetanios and Marcellino (2004), based on subspace algorithms for statespace models, but it is not considered in this study.”
• Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change (2008, methodology): “Marcellino (2006). Autoregressive forecast with second differencing (ar_bic_i2).”
• EFFICIENT ESTIMATION OF FACTOR MODELS (2011, methodology): “In addition, Kapetanios and Marcellino (2006) use methods for the state-space model to estimate the dynamic factor models with factor lags present.”