Time Series In High Dimensions: The General Dynamic Factor Model

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.

Product details

• Authors: Marco Lippi Matteo Barigoz Marc Hallin
• Assisted by: Matteo Barigozzi (Editor), Mario Forni (Editor), Forni Mario (Editor), Marc Hallin (Editor), Hallin Marc (Editor), Lippi Marco (Editor), Marc Hallin (Editor), Marco Lippi (Editor), Matteo Barigozzi (Editor), Paolo Zaffaroni (Editor)
• Publisher: Ingram Publishers Services
• Languages: English
• Product format: Hardback
• Released: 30.09.2020
• EAN: 9789813278004
• ISBN: 978-981-3278-00-4
• Subjects: Social sciences, law, business > Business > Miscellaneous; Ökonometrie und Wirtschaftsstatistik, BUSINESS & ECONOMICS / Statistics, BUSINESS & ECONOMICS / Economics / Macroeconomics, Business / Economics / Finance, BUSINESS & ECONOMICS / Econometrics, Econometrics, Econometrics and economic statistics