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

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.

author list (cited authors)

  • Hwang, H.

citation count

  • 3

publication date

  • December 2009