Factor Model Forecasting
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Dynamic Factor Models
Author | : Siem Jan Koopman |
Publisher | : Emerald Group Publishing |
Total Pages | : 685 |
Release | : 2016-01-08 |
Genre | : Business & Economics |
ISBN | : 1785603523 |
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This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
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Language: en
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Type: BOOK - Published: 2016-01-08 - Publisher: Emerald Group Publishing
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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