Seminario 22/17: Germán López Buenache (Universidad de Murcia) Factor models for large and incomplete data sets with unknown group structure

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Most economic applications rely on a large number of time series, which typically have a remarkable clustering structure and they are available over different spans. To handle these databases, we combined the expectation–maximization (EM) algorithm outlined by Stock and Watson (JBES, 2002) and the estimation algorithm for large factor models with an unknown number of…