Browsing Postprints (Articles) by Subject "Factor models"

Browsing Postprints (Articles) by Subject "Factor models"

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  • Gibson, Heather D.; Hall, Stephen George; Tavlas, George S. (Cambridge University Press, 2022-09)
    We provide a new way of deriving a number of dynamic unobserved factors from a set of variables. We show how standard principal components may be expressed in state space form and estimated using the Kalman filter. To ...