Time Series In High Dimensions: The General Dynamic Factor Model
Book Details
Format
Hardback or Cased Book
ISBN-10
9813278005
ISBN-13
9789813278004
Publisher
World Scientific Publishing Co Pte Ltd
Imprint
World Scientific Publishing Co Pte Ltd
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Aug 4th, 2020
Print length
764 Pages
Weight
1,242 grams
Dimensions
15.90 x 23.50 x 5.10 cms
Product Classification:
Econometrics
Ksh 37,800.00
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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.
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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