The General Dynamic Factor Model
Edición de la obra Time Series In High Dimensions
| Autor | Marc Hallin, Marco Lippi, Matteo Barigozzi |
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| Editorial | World Scientific Publishing Company (WSPC), WSPC |
| Fecha de publicación | June 29, 2020 |
| Lugar | New Jersey, USA |
| Idioma | inglés |
| Páginas | 770 |
| Formato | Hardcover |
| ISBN-13 | 9789813278004 |
| ISBN-10 | 9813278005 |
| OCLC | 1057377513 |
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| LCCN | 2019009730 |
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| Número de Cutter | H189t |
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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.