Time Series in High Dimension: the General Dynamic Factor Model
Title | Time Series in High Dimension: the General Dynamic Factor Model PDF eBook |
Author | Marc Hallin |
Publisher | World Scientific Publishing Company |
Pages | 764 |
Release | 2020-03-30 |
Genre | Business & Economics |
ISBN | 9789813278004 |
Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.
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 |
The Generalized Dynamic Factor Model
Title | The Generalized Dynamic Factor Model PDF eBook |
Author | |
Publisher | |
Pages | 0 |
Release | 2002 |
Genre | |
ISBN |
The Generalized Dynamic Factor Model
Title | The Generalized Dynamic Factor Model PDF eBook |
Author | Mario Forni |
Publisher | |
Pages | 48 |
Release | 2000 |
Genre | Econometric models |
ISBN |
The Generalized Dynamic Factor Model
Title | The Generalized Dynamic Factor Model PDF eBook |
Author | |
Publisher | |
Pages | 38 |
Release | 2002 |
Genre | Economic forecasting |
ISBN |
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.