This paper deals with the estimation of the hidden factor in Dynamic Generalized Factor Analysis via a generalization of Kalman filtering. Asymptotic consistency is discussed and it is shown that the Kalman one-step predictor is not the right tool while the pure filter yields a consistent estimate.
Hidden factor estimation in Dynamic Generalized Factor Analysis models
Picci G.;Falconi L.
;Ferrante A.;Zorzi M.
2023
Abstract
This paper deals with the estimation of the hidden factor in Dynamic Generalized Factor Analysis via a generalization of Kalman filtering. Asymptotic consistency is discussed and it is shown that the Kalman one-step predictor is not the right tool while the pure filter yields a consistent estimate.
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