Identification And Estimation Of Dynamic Factor Models
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Author | : Siem Jan Koopman |
Publisher | : Emerald Group Publishing |
Total Pages | : 685 |
Release | : 2016-01-08 |
Genre | : Business & Economics |
ISBN | : 1785603523 |
Download Dynamic Factor Models Book in PDF, Epub and Kindle
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.
Author | : Jushan Bai |
Publisher | : |
Total Pages | : |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Identification and Estimation of Dynamic Factor Models Book in PDF, Epub and Kindle
Author | : Michael P. Clements |
Publisher | : OUP USA |
Total Pages | : 732 |
Release | : 2011-07-08 |
Genre | : Business & Economics |
ISBN | : 0195398645 |
Download The Oxford Handbook of Economic Forecasting Book in PDF, Epub and Kindle
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.
Author | : Jörg Breitung |
Publisher | : |
Total Pages | : 40 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Dynamic Factor Models Book in PDF, Epub and Kindle
Factor models can cope with many variables without running into scarce degrees of freedom.
Author | : |
Publisher | : |
Total Pages | : 24 |
Release | : 1999 |
Genre | : Econometric models |
ISBN | : |
Download The Generalised Dynamic Factor Model Book in PDF, Epub and Kindle
Author | : Olaf Hübler |
Publisher | : Springer Science & Business Media |
Total Pages | : 236 |
Release | : 2007-04-29 |
Genre | : Business & Economics |
ISBN | : 3540326936 |
Download Modern Econometric Analysis Book in PDF, Epub and Kindle
In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Author | : Jushan Bai |
Publisher | : Now Publishers Inc |
Total Pages | : 90 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 1601981449 |
Download Large Dimensional Factor Analysis Book in PDF, Epub and Kindle
Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
Author | : Mario Forni |
Publisher | : |
Total Pages | : 24 |
Release | : 1998 |
Genre | : |
ISBN | : |
Download The Generalized Dynamic Factor Model Book in PDF, Epub and Kindle
Author | : Marc Hallin |
Publisher | : World Scientific Publishing Company |
Total Pages | : 764 |
Release | : 2020-03-30 |
Genre | : Business & Economics |
ISBN | : 9789813278004 |
Download Time Series in High Dimension: the General Dynamic Factor Model Book in PDF, Epub and Kindle
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.
Author | : |
Publisher | : |
Total Pages | : 24 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download The Generalized Dynamic Factor Model: Identification and Estimation Book in PDF, Epub and Kindle