Time Series In High Dimension The General Dynamic Factor Model
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Time Series in High Dimension: the General Dynamic Factor Model
Author | : Marc Hallin |
Publisher | : World Scientific Publishing Company |
Total Pages | : 764 |
Release | : 2020-03-30 |
Genre | : Business & Economics |
ISBN | : 9789813278004 |
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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.
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