Time Series In High Dimensions: The General Dynamic Factor Model

by Marc Hallin, Marco Lippi, Matteo Barigozzi, Mario Forni and Paolo Zaffaroni

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Description

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.

Details

Time Series In High Dimensions: The General Dynamic Factor Model
by Marc Hallin, Marco Lippi, Matteo Barigozzi, Mario Forni and Paolo Zaffaroni

ISBN
9789813278004

Publisher
World Scientific Publishing Co Pte Ltd

Binding
Hardback

Publication date
Aug. 4, 2020