Blar i Statistisk sentralbyrås publikasjonsserier / Published by Statistics Norway på emneord "Latent time series"
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A state space approach for estimating VAR models for panel data with latent dynamic components
(Discussion Papers;No. 295, Working paper, 2001)Abstract: The econometric literature offers various modeling approaches for analyzing micro data in combination with time series of aggregate data. This paper discusses the estimation of a VAR model that allows unobserved ...