| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6063 |
| DP6063 Anticipated Growth and Business Cycles in Matching Models | |
| Wouter Den Haan; Georg Kaltenbrunner | |
| 发表日期 | 2007-01-21 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | This paper shows consistency of a two step estimator of the parameters of a dynamic approximate factor model when the panel of time series is large (n large). In the first step, the parameters are first estimated from an OLS on principal components. In the second step, the factors are estimated via the Kalman smoother. This projection allows to consider dynamics in the factors and heteroskedasticity in the idiosyncratic variance. The analysis provides theoretical backing for the estimator considered in Giannone, Reichlin, and Sala (2004) and Giannone, Reichlin, and Small (2005). |
| 主题 | International Macroeconomics |
| 关键词 | Factor models Kalman filter Large cross-sections Principal components |
| URL | https://cepr.org/publications/dp6063 |
| 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/534901 |
| 推荐引用方式 GB/T 7714 | Wouter Den Haan,Georg Kaltenbrunner. DP6063 Anticipated Growth and Business Cycles in Matching Models. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
