Two-step estimation of a factor model in the presence of observable factors Academic Article

abstract

• The dynamic factor model of Stock and Watson (2005) and the FAVAR model of Boivin (2009) include both observable and unobservable factors, and they estimate the model by using an iterative procedure. This paper presents a two-step procedure. 2009 Elsevier B.V. All rights reserved.

authors

• Hwang, Haeshin

published proceedings

• Economics Letters

author list (cited authors)

• Hwang, H.

citation count

• 5

complete list of authors

• Hwang, Hae-shin

publication date

• January 2009

publisher

• Elsevier  Publisher

published in

• Economics Letters  Journal

Digital Object Identifier (DOI)

• 10.1016/j.econlet.2009.08.008

start page

• 247

end page

• 249

volume

• 105

issue

• 3

URL

• http://dx.doi.org/10.1016/j.econlet.2009.08.008