Benutzer: Gast  Login
Dokumenttyp:
Masterarbeit 
Autor(en):
Zawadzki, Emil 
Titel:
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 appli...    »
 
Aufgabensteller:
PD Dr Aleksey Min 
Betreuer:
PD Dr Aleksey Min 
Jahr:
2015 
Sprache:
de 
Sprache der Übersetzung:
de 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
Bearbeitungsbeginn:
01.07.2015 
Bearbeitungsende:
29.02.2016