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Time Series In High Dimensions: The General Dynamic Factor Model
Marc Hallin • Marco Lippi • Matteo Barigozzi • Mario Forni • Paolo Zaffaroni
Inbunden
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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.
- Format: Inbunden
- ISBN: 9789813278004
- Språk: Engelska
- Antal sidor: 764
- Utgivningsdatum: 2020-08-04
- Förlag: World Scientific Publishing Co Pte Ltd