08-007/4 - Likelihood-based Analysis for Dynamic Factor Models

• Authors
  Borus Jungbacker, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam
• Publication date
  January 17, 2008

• Keywords
  EM algorithm; Kalman Filter; Forecasting; Latent Factors; Markov chain Monte Carlo; Principal Components; State Space
• JEL
  C33; C43