We develop a new model representation for high-dimensional dynamic multi-factor models. It allows the Kalman filter and related smoothing methods to produce optimal estimates in a computationally efficient way in the presence of missing data. We discuss the model in detail together with the implementation of methods for signal extraction and parameter estimation. The computational gains of the new devices are presented based on simulated data-sets with varying numbers of missing entries

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Tinbergen Institute
hdl.handle.net/1765/14942
Tinbergen Institute Discussion Paper Series
Discussion paper / Tinbergen Institute
Tinbergen Institute

Jungbacker, B., Koopman, S. J., & van der Wel, M. (2009). Dynamic Factor Analysis in The Presence of Missing Data (No. TI 09-010/4). Discussion paper / Tinbergen Institute. Retrieved from http://hdl.handle.net/1765/14942