Saturday, May 24, 2025

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The latent factors are known as state variables in the jargon. Naturally, it would be desirable to have the associated error bounds for the nowcast. They do not, however, exploit the factor time series dynamics imposed by \({\mathbf {B}}(L)\), or the fact that the idiosyncratic components are potentially cross-sectionally heteroscedastic (i. (2015d, Sect. 3 Juicy […]

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