Factor Structural Time Series Models for Official Statistics with an Application to Hours Worked in Germany
We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The methods ad...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2018-03-01
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| Series: | Journal of Official Statistics |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/jos-2018-0012 |