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.

Dettagli sul prodotto

• Autori: Marco Lippi Matteo Barigoz Marc Hallin
• Con la collaborazione di: Matteo Barigozzi (Editore), Mario Forni (Editore), Forni Mario (Editore), Marc Hallin (Editore), Hallin Marc (Editore), Lippi Marco (Editore), Marc Hallin (Editore), Marco Lippi (Editore), Matteo Barigozzi (Editore), Paolo Zaffaroni (Editore)
• Editore: Ingram Publishers Services
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 30.09.2020
• EAN: 9789813278004
• ISBN: 978-981-3278-00-4
• Categorie: Scienze sociali, diritto, economia > Economia > Altro; Ökonometrie und Wirtschaftsstatistik, BUSINESS & ECONOMICS / Statistics, BUSINESS & ECONOMICS / Economics / Macroeconomics, Business / Economics / Finance, BUSINESS & ECONOMICS / Econometrics, Econometrics, Econometrics and economic statistics