Bayesian estimation of sparse dynamic factor models with order-independent identification

Sylvia Kaufmann and Christian Schumacher

No 13.04, Working Papers from Swiss National Bank, Study Center Gerzensee

Abstract: The analysis of large panel data sets (with N variables) involves methods of dimension reduction and optimal information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k, where k

Pages: 36 pages
Date: 2013-04
New Economics Papers: this item is included in nep-ecm
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