Browsing ECO Working Papers by Subject "Dynamic factor model"

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Browsing ECO Working Papers by Subject "Dynamic factor model"

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    Title: Dynamic Factors in the Presence of Block Structure  Author(s): HALLIN, Marc; LIŠKA, Roman Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Macroeconometric data often come under the form of large panels of time series, themselves decomposing into smaller but still quite large subpanels or blocks. We show how the dynamic factor analysis method proposed in ...