Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Quasi Maximum Likelihood 

Working Paper
Common Factors, Trends, and Cycles in Large Datasets

This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic properties of the estimator are discussed. Then, we show how to separate trends and cycles in the factors by mean of eigenanalysis of the estimated non-stationary factors. Finally, we employ our methodology on a panel of US quarterly macroeconomic indicators to estimate aggregate real output, or Gross ...
Finance and Economics Discussion Series , Paper 2017-111

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C32 1 items

C38 1 items

C55 1 items

E00 1 items

PREVIOUS / NEXT