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Time Series in High Dimension: the General Dynamic Factor Model

Time Series in High Dimension: the General Dynamic Factor Model PDF Author: Marc Hallin
Publisher: World Scientific Publishing Company
ISBN: 9789813278004
Category : Business & Economics
Languages : en
Pages : 764

Book Description
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.
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