Time Series in High Dimensions : The General Dynamic Factor Model
Barigozzi, Matteo (EDT); Forni, Mario (EDT); Hallin, Marc (EDT); Lippi, Marco (EDT); Zaffaroni, Paolo (EDT)
Language: English
Published by World Scientific Publishing Company, 2020
- Hardcover
- Used

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- Title
- Time Series in High Dimensions : The General Dynamic Factor Model
- Author
- Barigozzi, Matteo (EDT); Forni, Mario (EDT); Hallin, Marc (EDT); Lippi, Marco (EDT); Zaffaroni, Paolo (EDT)
- Publisher
- World Scientific Publishing Company
- Publication year
- 2020
- Condition
- As New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 9813278005
- 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.
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