Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
混频动态因子分析与预测的加权极大似然方法
For the purpose of forecasting key macroeconomic or financial variables from a panel of time series variables, we adopt the dynamic factor model and propose a weighted likelihood-based method for parameter estimation. The loglikelihood function is split into two parts that are weighted differently. The first part is associated with the key variables while the second part is associated with the related variables which may contribute to the forecasting of key variables. We…