Two-step estimation of a factor model in the presence of observable factors

Hae-shin Hwang

Economics Letters, 2009, vol. 105, issue 3, 247-249

Abstract: The dynamic factor model of Stock and Watson (2005) and the FAVAR model of Boivin (2009) include both observable and unobservable factors, and they estimate the model by using an iterative procedure. This paper presents a two-step procedure.

Keywords: Dynamic; factor; model; FAVAR; Observable; factors; Two-step; estimation (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:105:y:2009:i:3:p:247-249

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