Time Series in High Dimensions: The General Dynamic Factor Model (Hardcover) (ISBN-13: 9789813278004)

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.

Author: Marc Hallin
ISBN-10: 9813278005
ISBN-13: 9789813278004
Publisher: World Scientific Publishing Company
Language: English
Published: 08/04/2020
Pages: 764
Format: Hardcover
Weight: 2.60lbs
Size: 9.00h x 6.00w x 1.63d