Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement

Laura Elizabeth Jackson; M. Ayhan Kose; Christopher Otrok; Michael T. Owyang; Laura Young

Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement

Laura Elizabeth Jackson
, M. Ayhan Kose
, Christopher Otrok
, Michael T. Owyang
, Laura Young

Economics

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Original language	English
Title of host publication	Advances in Econometrics, Volume 35
Publisher	Emerald Group Publishing Ltd.
State	Published - 2016

Cite this

@inbook{acc3095cff65440c8aefb18330b913e0,

title = "Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement",

author = "Jackson, \{Laura Elizabeth\} and Kose, \{M. Ayhan\} and Christopher Otrok and Owyang, \{Michael T.\} and Laura Young",

year = "2016",

language = "English",

booktitle = "Advances in Econometrics, Volume 35",

publisher = "Emerald Group Publishing Ltd.",

}

TY - CHAP

T1 - Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement

AU - Jackson, Laura Elizabeth

AU - Kose, M. Ayhan

AU - Otrok, Christopher

AU - Owyang, Michael T.

AU - Young, Laura

PY - 2016

Y1 - 2016

UR - http://www.emeraldinsight.com/doi/full/10.1108/S0731-905320150000035009

M3 - Chapter

BT - Advances in Econometrics, Volume 35

PB - Emerald Group Publishing Ltd.

ER -

Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement

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