Title:

Dynamic Factor Models with Jagged Edge Panel Data: Taking on Board the Dynamics of the Idiosyncratic Components

Authors:

Maximiano Pinheiro (Bank of Portugal, UTL, ISEG, UTL)
António Rua (Bank of Portugal)
Francisco C. Dias (Bank of Portugal)

Journal:

Oxford Bulletin of Economics and Statistics

Year:

2013

Volume:

75

Pages:

80-102

JEL codes:

C23 - Models with Panel Data
C51 - Model Construction and Estimation