G2TT
来源类型Discussion paper
规范类型论文
来源IDDP5634
DP5634 Lobbying and Agricultural Trade Policy in the United States
Kishore Gawande
发表日期2006-04-11
出版年2006
语种英语
摘要The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new parametric methodology for estimating factors from large datasets based on state space models and discuss its theoretical properties. In particular, we show that it is possible to estimate consistently the factor space. We also develop a consistent information criterion for the determination of the number of factors to be included in the model. Finally, we conduct a set of simulation experiments that show that our approach compares well with existing alternatives.
主题International Macroeconomics
关键词Factor models Principal components Subspace algorithms
URLhttps://cepr.org/publications/dp5634
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/534477
推荐引用方式
GB/T 7714
Kishore Gawande. DP5634 Lobbying and Agricultural Trade Policy in the United States. 2006.
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