Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series
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Updated
Nov 4, 2024 - R
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factor-models
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R codes and dataset for the estimation of the high-dimensional state space model proposed in the paper "A dynamic factor model approach to incorporate Big Data in state space models for official statistics" with Franz Palm, Stephan Smeekes and Jan van den Brakel.
big-data
time-series
high-dimensional-data
state-space
econometrics
kalman-filter
factor-models
google-trends
high-dimensional
unemployment
official-statistics
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Updated
Nov 5, 2020 - R
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