FRB,FEDS Paper: Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
FEDS Paper: Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM Algorithm Abstract This paper presents a new estimation and inference method for large approximate dynamic factor models (ADFMs) using the Expectation-Maximization (EM) algorithm. The proposed method, called quasi maximum likelihood (QML) estimation, is based on a reformulation of … Read more