Time Series in High Dimension: the General Dynamic Factor Model

Time Series in High Dimension: the General Dynamic Factor Model
Author :
Publisher : World Scientific Publishing Company
Total Pages : 764
Release :
ISBN-10 : 9813278005
ISBN-13 : 9789813278004
Rating : 4/5 (004 Downloads)

Book Synopsis Time Series in High Dimension: the General Dynamic Factor Model by : Marc Hallin

Download or read book Time Series in High Dimension: the General Dynamic Factor Model written by Marc Hallin and published by World Scientific Publishing Company. This book was released on 2020-03-30 with total page 764 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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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