Time Series in High Dimension: the General Dynamic Factor Model
Download or Read eBook Time Series in High Dimension: the General Dynamic Factor Model PDF written by Marc Hallin and published by World Scientific Publishing Company. This book was released on 2020-03-30 with total page 764 pages. Available in PDF, EPUB and Kindle.
Author | : Marc Hallin |
Publisher | : World Scientific Publishing Company |
Total Pages | : 764 |
Release | : 2020-03-30 |
ISBN-10 | : 9813278005 |
ISBN-13 | : 9789813278004 |
Rating | : 4/5 (05 Downloads) |
Book Synopsis Time Series in High Dimension: the General Dynamic Factor Model by : Marc Hallin
Book excerpt: 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.