Description

Book Synopsis
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.

Time Series In High Dimensions: The General Dynamic Factor Model

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    A Hardback by Marc Hallin, Marco Lippi, Matteo Barigozzi

    £189.00

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      Book details

      Publisher World Scientific Publishing Co Pte Ltd
      Published 4 August 2020
      ISBN-13 9789813278004
      978-9813278004
      ISBN-10 9813278005

      Description

      Book Synopsis
      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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