Empirical Bayes Methods for Dynamic Factor Models

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Empirical Bayes Methods for Dynamic Factor Models S.J. Koopman (a )and G. Mesters b (a) VU University Amsterdam, Tinbergen Institute and CREATES, Aarhus University (b) Universitat Pompeu Fabra, Barcelona GSE and

  Model, Methods, Dynamics, Factors, Ebay, Empirical, Empirical bayes methods for dynamic factor models