Dynamic Factor Models
Title | Dynamic Factor Models PDF eBook |
Author | Siem Jan Koopman |
Publisher | Emerald Group Publishing |
Pages | 685 |
Release | 2016-01-08 |
Genre | Business & Economics |
ISBN | 1785603523 |
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
The Oxford Handbook of Economic Forecasting
Title | The Oxford Handbook of Economic Forecasting PDF eBook |
Author | Michael P. Clements |
Publisher | OUP USA |
Pages | 732 |
Release | 2011-07-08 |
Genre | Business & Economics |
ISBN | 0195398645 |
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Dynamic Factor Models
Title | Dynamic Factor Models PDF eBook |
Author | Jörg Breitung |
Publisher | |
Pages | 29 |
Release | 2005 |
Genre | |
ISBN | 9783865580979 |
Dynamic Factor Models in Estimation and Forecasting
Title | Dynamic Factor Models in Estimation and Forecasting PDF eBook |
Author | Victor Bystrov |
Publisher | |
Pages | 95 |
Release | 2008 |
Genre | Econometrics |
ISBN |
Modern Econometric Analysis
Title | Modern Econometric Analysis PDF eBook |
Author | Olaf Hübler |
Publisher | Springer Science & Business Media |
Pages | 236 |
Release | 2007-04-29 |
Genre | Business & Economics |
ISBN | 3540326936 |
In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Large Dimensional Factor Analysis
Title | Large Dimensional Factor Analysis PDF eBook |
Author | Jushan Bai |
Publisher | Now Publishers Inc |
Pages | 90 |
Release | 2008 |
Genre | Business & Economics |
ISBN | 1601981449 |
Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
The Generalized Dynamic Factor Model
Title | The Generalized Dynamic Factor Model PDF eBook |
Author | |
Publisher | |
Pages | 38 |
Release | 2002 |
Genre | Economic forecasting |
ISBN |