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Document type:
Masterarbeit 
Author(s):
Zawadzki, Emil 
Title:
A two-step estimator for approximate factor models based on Kalman filtering 
Abstract:
This thesis describes a procedure based on Principal Component Analysis in conjunction with Kalman _ltering and smoothing which is able to give consistent estimates of the parameters for dynamic factor models. It is currently in use among others by central banks around the world to estimate economic indicators before they get published and has the main advantage of being able to handle publication lags of the input variables as well as mixed frequency data. The procedure was _rst applied by...    »
 
Supervisor:
PD Dr Aleksey Min 
Advisor:
PD Dr Aleksey Min 
Year:
2015 
Language:
de 
Language from translation:
de 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
Commencing Date:
01.07.2015 
End of processing:
29.02.2016