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This is what differentiates our approach from the standard state-space, which normally is applied on a handful of variables and where the trend ...







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Common factors, trends, and cycles in large datasets
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CENTRE FOR ECONOMETRIC ANALYSIS CEA@BAYES
The measurement equation (1) and the state equation (2) form a state-space model, or, equivalently, a Dynamic Factor Model (DFM) (this is a restricted ...