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The Generalized Dynamic Factor Model

Author: Mario Forni
Publisher:
ISBN:
Category :
Languages : en
Pages : 24

Book Description

The Generalized Dynamic Factor Model

Author: Mario Forni
Publisher:
ISBN:
Category :
Languages : en
Pages : 24

Book Description

The Generalized Dynamic Factor Model: Identification and Estimation

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 24

Book Description

The Generalized Dynamic Factor Model

Author:
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 40

Book Description

Dynamic Factor Models

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

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.

The Generalised Dynamic Factor Model

Author:
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 24

Book Description

Time Series in High Dimension: the General Dynamic Factor Model

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.

The Oxford Handbook of Economic Forecasting

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

Book Description
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.