Dynamic Specification Tests for Static Factor Models PDF Download

Author: Gabriele Fiorentini
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Jörg Breitung
Publisher:
ISBN: 9783865580979
Category :
Languages : en
Pages : 29

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Author: Michael P. Clements
Publisher: OUP USA
ISBN: 0195398645
Category : Business & Economics
Languages : en
Pages : 732

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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.

Author: Marcelle Chauvet
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 33

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Author: Siem Jan Koopman
Publisher: Oxford University Press
ISBN: 0199683662
Category : Business & Economics
Languages : en
Pages : 389

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Book Description
Presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives.

Author: Olaf Hübler
Publisher: Springer Science & Business Media
ISBN: 3540326936
Category : Business & Economics
Languages : en
Pages : 236

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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.

Author: Xu Han
Publisher:
ISBN:
Category :
Languages : en
Pages : 67

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We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used. Based on the fact that the presence of a structural change in factor loadings yields a structural change in second moments of factors obtained from the full sample principal component estimation, we reduce the infinite-dimensional problem into a finite-dimensional one and our statistic compares the pre- and post-break subsample second moments of estimated factors. Our test is consistent under the alternative hypothesis in which a fraction of or all factor loadings have structural changes. The Monte Carlo results show that our test has good finite-sample size and power.

Author: Giovanni Petris
Publisher: Springer Science & Business Media
ISBN: 0387772383
Category : Mathematics
Languages : en
Pages : 258

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State space models have gained tremendous popularity in recent years in as disparate fields as engineering, economics, genetics and ecology. After a detailed introduction to general state space models, this book focuses on dynamic linear models, emphasizing their Bayesian analysis. Whenever possible it is shown how to compute estimates and forecasts in closed form; for more complex models, simulation techniques are used. A final chapter covers modern sequential Monte Carlo algorithms. The book illustrates all the fundamental steps needed to use dynamic linear models in practice, using R. Many detailed examples based on real data sets are provided to show how to set up a specific model, estimate its parameters, and use it for forecasting. All the code used in the book is available online. No prior knowledge of Bayesian statistics or time series analysis is required, although familiarity with basic statistics and R is assumed.

Author: Thorsten Dickhaus
Publisher: Springer Science & Business Media
ISBN: 3642451829
Category : Science
Languages : en
Pages : 182

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Book Description
This monograph will provide an in-depth mathematical treatment of modern multiple test procedures controlling the false discovery rate (FDR) and related error measures, particularly addressing applications to fields such as genetics, proteomics, neuroscience and general biology. The book will also include a detailed description how to implement these methods in practice. Moreover new developments focusing on non-standard assumptions are also included, especially multiple tests for discrete data. The book primarily addresses researchers and practitioners but will also be beneficial for graduate students.

Author: Siem Jan Koopman
Publisher: Emerald Group Publishing
ISBN: 1785603523
Category : Business & Economics
Languages : en
Pages : 685

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Book Description
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.