09-010/4 - Dynamic Factor Analysis in The Presence of Missing Data

• Authors
  B. Jungbacker, VU University Amsterdam; S.J. Koopman, VU University Amsterdam; M. van der Wel, Erasmus University Rotterdam, and CREATES
• Publication date
  February 12, 2009

• Keywords
  High-dimensional vector series; Kalman filtering and smooting; Maximum likelihood; Unbalanced panels of time series
• JEL
  C33, C43