Time Series In High Dimensions: The General Dynamic Factor Model
Author:   Marc Hallin (Univ Libre De Bruxelles, Belgium) ,  Marco Lippi (Einaudi Inst For Economics & Finance, Italy) ,  Matteo Barigozzi (London School Of Economics & Political Science, Uk) ,  Mario Forni (Univ Di Modena E Reggio Emilia, Italy)
Publisher:   World Scientific Publishing Co Pte Ltd
ISBN:  

9789813278004


Pages:   764
Publication Date:   04 August 2020
Format:   Hardback
Availability:   In Print   Availability explained
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Time Series In High Dimensions: The General Dynamic Factor Model


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Overview

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.

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Author:   Marc Hallin (Univ Libre De Bruxelles, Belgium) ,  Marco Lippi (Einaudi Inst For Economics & Finance, Italy) ,  Matteo Barigozzi (London School Of Economics & Political Science, Uk) ,  Mario Forni (Univ Di Modena E Reggio Emilia, Italy)
Publisher:   World Scientific Publishing Co Pte Ltd
Imprint:   World Scientific Publishing Co Pte Ltd
ISBN:  

9789813278004


ISBN 10:   9813278005
Pages:   764
Publication Date:   04 August 2020
Audience:   College/higher education ,  Professional and scholarly ,  Tertiary & Higher Education ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

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