首页    期刊浏览 2024年12月02日 星期一
登录注册

文章基本信息

  • 标题:Fast ML estimation of dynamic bifactor models: An application to European inflation
  • 本地全文:下载
  • 作者:Gabriele Fiorentini ; Alessandro Galesi ; Enrique Sentana
  • 期刊名称:CEMFI Working Papers / Centro de Estudios Monetarios y Financieros, Madrid
  • 出版年度:2015
  • 卷号:2015
  • 出版社:Centro de Estudios Monetarios y Financieros, Madrid
  • 摘要:

    We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum likelihood with many series from multiple regions. We also derive convenient expressions for the spectral scores and information matrix, which allows us to switch to the scoring algorithm near the optimum. We explore the ability of a model with a global factor and three regional ones to capture inflation dynamics across 25 European countries over 1999-2014.

国家哲学社会科学文献中心版权所有