Dynamic factor analysis with non‐linear temporal aggregation constraints

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Real-Time Measurement of Business Conditions (2007, unknown): “Proietti and Moauro (2006) avoid the Mariano–Murasawa approximation at the cost of moving to a nonlinear model with a corresponding rather tedious nonlinear filtering algorithm.”
Temporal Disaggregation By State Space Methods: Dynamic Regression Methods Revisited (2006, unknown): “The first case has been considered by Rosenberg (1973), who showed that β can be concentrated out of the likelihood function, whereas (ii) is considered in de Jong (1991).”
Markov-switching dynamic factor models in real time (2018, methodology): “The desired expressions (19) to (21) are obtained noting that f (i) t+1jt = i; in cases (i) and (ii) but f (i) t+1jt = i+ ftjt in case (iii), and that 2 k;t+1jt = 2 k in case (i), 2 k;t+1jt = 2 k+ 2 a”
Introducing the Euro-STING: Short Term INdicator of Euro Area Growth (2010, background): “Yt = y2nd t Z h0 t Z s0 t lt y 1st t y f t 0 ; (28)”