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Identification And Estimation Of Dynamic Factor Models
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Book Synopsis Dynamic Factor Models by : Siem Jan Koopman
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Book Synopsis Identification and Estimation of Dynamic Factor Models by : Jushan Bai
Download or read book Identification and Estimation of Dynamic Factor Models written by Jushan Bai and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Oxford Handbook of Economic Forecasting by : Michael P. Clements
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Book Synopsis Dynamic Factor Models by : Jörg Breitung
Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Factor models can cope with many variables without running into scarce degrees of freedom.
Book Synopsis The Generalised Dynamic Factor Model by :
Download or read book The Generalised Dynamic Factor Model written by and published by . This book was released on 1999 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Large Dimensional Factor Analysis by : Jushan Bai
Download or read book Large Dimensional Factor Analysis written by Jushan Bai and published by Now Publishers Inc. This book was released on 2008 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
Book Synopsis The Generalized Dynamic Factor Model by : Mario Forni
Download or read book The Generalized Dynamic Factor Model written by Mario Forni and published by . This book was released on 1998 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time Series in High Dimension: the General Dynamic Factor Model by : Marc Hallin
Download or read book Time Series in High Dimension: the General Dynamic Factor Model written by Marc Hallin and published by World Scientific Publishing Company. This book was released on 2020-03-30 with total page 764 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 Synopsis The Generalized Dynamic Factor Model: Identification and Estimation by :
Download or read book The Generalized Dynamic Factor Model: Identification and Estimation written by and published by . This book was released on 1999 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Generalized Dynamic Factor Model by :
Download or read book The Generalized Dynamic Factor Model written by and published by . This book was released on 1999 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Panel Data Econometrics by : Donggyu Sul
Download or read book Panel Data Econometrics written by Donggyu Sul and published by Routledge. This book was released on 2019-02-07 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last 20 years, econometric theory on panel data has developed rapidly, particularly for analyzing common behaviors among individuals over time. Meanwhile, the statistical methods employed by applied researchers have not kept up-to-date. This book attempts to fill in this gap by teaching researchers how to use the latest panel estimation methods correctly. Almost all applied economics articles use panel data or panel regressions. However, many empirical results from typical panel data analyses are not correctly executed. This book aims to help applied researchers to run panel regressions correctly and avoid common mistakes. The book explains how to model cross-sectional dependence, how to estimate a few key common variables, and how to identify them. It also provides guidance on how to separate out the long-run relationship and common dynamic and idiosyncratic dynamic relationships from a set of panel data. Aimed at applied researchers who want to learn about panel data econometrics by running statistical software, this book provides clear guidance and is supported by a full range of online teaching and learning materials. It includes practice sections on MATLAB, STATA, and GAUSS throughout, along with short and simple econometric theories on basic panel regressions for those who are unfamiliar with econometric theory on traditional panel regressions.
Book Synopsis Bayesian Forecasting and Dynamic Models by : Mike West
Download or read book Bayesian Forecasting and Dynamic Models written by Mike West and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book we are concerned with Bayesian learning and forecast ing in dynamic environments. We describe the structure and theory of classes of dynamic models, and their uses in Bayesian forecasting. The principles, models and methods of Bayesian forecasting have been developed extensively during the last twenty years. This devel opment has involved thorough investigation of mathematical and sta tistical aspects of forecasting models and related techniques. With this has come experience with application in a variety of areas in commercial and industrial, scientific and socio-economic fields. In deed much of the technical development has been driven by the needs of forecasting practitioners. As a result, there now exists a relatively complete statistical and mathematical framework, although much of this is either not properly documented or not easily accessible. Our primary goals in writing this book have been to present our view of this approach to modelling and forecasting, and to provide a rea sonably complete text for advanced university students and research workers. The text is primarily intended for advanced undergraduate and postgraduate students in statistics and mathematics. In line with this objective we present thorough discussion of mathematical and statistical features of Bayesian analyses of dynamic models, with illustrations, examples and exercises in each Chapter.
Book Synopsis Identification of Static and Dynamic Factor Models by : Marcelle Chauvet
Download or read book Identification of Static and Dynamic Factor Models written by Marcelle Chauvet and published by . This book was released on 1996 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometric Models For Industrial Organization by : Matthew Shum
Download or read book Econometric Models For Industrial Organization written by Matthew Shum and published by World Scientific. This book was released on 2016-12-14 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.
Book Synopsis Bayesian Estimation of Sparse Dynamic Factor Models with Order-independent Identification by : Sylvia Kaufmann
Download or read book Bayesian Estimation of Sparse Dynamic Factor Models with Order-independent Identification written by Sylvia Kaufmann and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models by : Gabriele Fiorentini
Download or read book Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models written by Gabriele Fiorentini and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the effects of dynamic heteroskedasticity on statistical factor analysis. We show that identification problems are alleviated when variation in factor variances is accounted for. Our results apply to dynamic APT models and other structural models. We also find that traditional ML estimation of unconditional variance parameters remains consistent if the factor loadings are identified from the unconditional distribution, but their standard errors must be robustified. We develop a simple preliminary LM test for ARCH effects in the common factors, and discuss two-step consistent estimation of the conditional variance parameters. Finally, we conduct a detailed simulation exercise.
Book Synopsis Dynamic Linear Models with R by : Giovanni Petris
Download or read book Dynamic Linear Models with R written by Giovanni Petris and published by Springer Science & Business Media. This book was released on 2009-06-12 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: State space models have gained tremendous popularity in recent years in as disparate fields as engineering, economics, genetics and ecology. After a detailed introduction to general state space models, this book focuses on dynamic linear models, emphasizing their Bayesian analysis. Whenever possible it is shown how to compute estimates and forecasts in closed form; for more complex models, simulation techniques are used. A final chapter covers modern sequential Monte Carlo algorithms. The book illustrates all the fundamental steps needed to use dynamic linear models in practice, using R. Many detailed examples based on real data sets are provided to show how to set up a specific model, estimate its parameters, and use it for forecasting. All the code used in the book is available online. No prior knowledge of Bayesian statistics or time series analysis is required, although familiarity with basic statistics and R is assumed.
