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Time Series In High Dimension: The General Dynamic Factor Model by Marc Hallin
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Time Series In High Dimension: The General Dynamic Factor Model by Marc Hallin

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9789813278004
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9789813278004
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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.

Book Information
ISBN 9789813278004
Author Marc Hallin
Format Hardback
Page Count 390
Imprint World Scientific Publishing Co Pte Ltd
Publisher World Scientific Publishing Co Pte Ltd

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