Author: Marcelle ChauvetPublisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 33
Book Description
Identification of Static and Dynamic Factor Models
Author: Marcelle ChauvetPublisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 33
Book Description
Model Identification in Bayesian Analysis of Static and Dynamic Factor Models
Author: Markus PapeThe Oxford Handbook of Economic Forecasting
Author: Michael P. ClementsPublisher: 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.
Dynamic Factor Models
Author: Jörg BreitungPublisher:
ISBN: 9783865580979
Category :
Languages : en
Pages : 29
Book Description
Identification and Estimation of Dynamic Factor Models
Author: Jushan BaiDynamic Factor Models
Author: Siem Jan KoopmanPublisher: Emerald Group Publishing Limited
ISBN: 9781785603532
Category : Business & Economics
Languages : en
Pages : 0
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.
On Information in Static and Dynamic Factor Models
Author: Pieter Wieger OtterPanel Data Econometrics
Author: Donggyu SulPublisher: Routledge
ISBN: 0429752970
Category : Business & Economics
Languages : en
Pages : 143
Book Description
In the last 20 years, econometric theory on panel data has developed rapidly, particularly for analyzing common behaviors among individuals over time. Meanwhile, the statistical methods employed by applied researchers have not kept up-to-date. This book attempts to fill in this gap by teaching researchers how to use the latest panel estimation methods correctly. Almost all applied economics articles use panel data or panel regressions. However, many empirical results from typical panel data analyses are not correctly executed. This book aims to help applied researchers to run panel regressions correctly and avoid common mistakes. The book explains how to model cross-sectional dependence, how to estimate a few key common variables, and how to identify them. It also provides guidance on how to separate out the long-run relationship and common dynamic and idiosyncratic dynamic relationships from a set of panel data. Aimed at applied researchers who want to learn about panel data econometrics by running statistical software, this book provides clear guidance and is supported by a full range of online teaching and learning materials. It includes practice sections on MATLAB, STATA, and GAUSS throughout, along with short and simple econometric theories on basic panel regressions for those who are unfamiliar with econometric theory on traditional panel regressions.
Handbook of Macroeconomics
Author: John B. TaylorPublisher: Elsevier
ISBN: 0444594787
Category : Business & Economics
Languages : en
Pages : 1376
Book Description
Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade
Author: C. Heij