Time Series In High Dimensions: The General Dynamic Factor Model

by Marc Hallin (Editor), Marco Lippi (Editor), Matteo Barigozzi (Editor), Mario Forni (Editor), Paolo Zaffaroni (Editor)

Overview

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.

Product Details

ISBN-13:	9789813278004
Publisher:	World Scientific Publishing Company, Incorporated
Publication date:	08/04/2020
Pages:	764
Product dimensions:	6.00(w) x 9.00(h) x 1.63(d)

Table of Contents

Introduction; General Dynamic Factors: The Dynamic Principal Component Approach; General Dynamic Factors: One-Sided Representations; Identification of the Number of Factors; Panels with Block Structure; Factor Models and Forecasting; Factor Models and Volatilities; Some Methodological Issues