Maximum Likelihood 'Confirmatory' Factor Analysis of Economic Time Series

Publisher:
Blackwell Publishing Limited
Publication Type:
Journal Article
Citation:
International Economic Review, 1981, 22 (1), pp. 37 - 54
Issue Date:
1981-01
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Explains the theory of identification, estimation and inference in the dynamic confirmatory factor model for the economic time series. Derivation of the frequency domain representation of the model; Illustration of the nature of the identification problem for the dynamic confirmatory model; Dynamic confirmatory model of the business cycle motivated by Lucas theory of aggregate activity.
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