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Author : Mario Forni
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (464 download)
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:
Author :
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (848 download)
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:
Author :
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.X/5 (6 download)
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:
Author : Siem Jan Koopman
Publisher : Emerald Group Publishing
ISBN 13 : 1785603523
Total Pages : 685 pages
Book Rating : 4.7/5 (856 download)
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.
Author :
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (434 download)
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:
Author : Marc Hallin
Publisher : World Scientific Publishing Company
ISBN 13 : 9789813278004
Total Pages : 764 pages
Book Rating : 4.2/5 (78 download)
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.
Author : Michael P. Clements
Publisher : OUP USA
ISBN 13 : 0195398645
Total Pages : 732 pages
Book Rating : 4.1/5 (953 download)
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.
Author : Jörg Breitung
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (13 download)
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.
Author :
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.X/5 (4 download)
Download or read book The Generalized Dynamic Factor Model written by and published by . This book was released on 2002 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jushan Bai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
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:
Author : Jushan Bai
Publisher : Now Publishers Inc
ISBN 13 : 1601981449
Total Pages : 90 pages
Book Rating : 4.6/5 (19 download)
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.
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (717 download)
Download or read book The Generalized Dynamic Factor Model written by and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Olaf Hübler
Publisher : Springer Science & Business Media
ISBN 13 : 3540326936
Total Pages : 236 pages
Book Rating : 4.5/5 (43 download)
Download or read book Modern Econometric Analysis written by Olaf Hübler and published by Springer Science & Business Media. This book was released on 2007-04-29 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Author : Matteo Barigozzi
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (931 download)
Download or read book Generalized Dynamic Factor Models and Volatilities written by Matteo Barigozzi and published by . This book was released on 2015 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carlos Trucíos
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Download or read book Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space written by Carlos Trucíos and published by . This book was released on 2020 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in the analysis of high-dimensional time series and have been successfully considered in many economic and financial applications. Being second-order models, however, they are sensitive to the presence of outliers--an issue that has not been analyzed so far in the general case of dynamic factors with possibly infinite-dimensional factor spaces (Forni et al.~2000, 2015, 2017). In this paper, we consider this robustness issue and study the impact of additive outliers on the identification, estimation, and forecasting performance of general dynamic factor models. Based on our findings, we propose robust versions of identification, estimation and forecasting procedures. The finite-sample performance of our methods is evaluated via Monte Carlo experiments and successfully applied to a classical dataset of 115 US macroeconomic and financial time series.
Author : Mario Forni
Publisher : Oxford University Press
ISBN 13 : 9780198288008
Total Pages : 264 pages
Book Rating : 4.2/5 (88 download)
Download or read book Aggregation and the Microfoundations of Dynamic Macroeconomics written by Mario Forni and published by Oxford University Press. This book was released on 1997 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Through careful methodological analysis, this book argues that modern macroeconomics has completely overlooked the aggregate nature of the data. In Part I, the authors test and reject the homogeneity assumption using disaggregate data. In Part II, they demonstrate that apart from random flukes, cointegration unidirectional Granger causality and restrictions on parameters do not survive aggregation when heterogeneity is introduced. They conclude that the claim that modern macroeconomics has solid microfoundations is unwarranted. However, some important theory-based models that do not fit aggregate data well in their representative-agent version can be reconciled with aggregate data by introducing heterogeneity.
Author : Nikolaos Zirogiannis
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (131 download)
Download or read book A Generalized Dynamic Factor Model for Panel Data written by Nikolaos Zirogiannis and published by . This book was released on 2013 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a generalized dynamic factor model for panel data with the goal of estimating an unobserved index. While similar models have been developed in the literature of dynamic factor analysis, our contribution is threefold. First, contrary to simple dynamic factor analysis where multiple attributes of the same subject are measured at each time period, our model also accounts for multiple subjects. It is therefore suitable to a panel data framework. Second, our model estimates a unique unobserved index for every subject for every time period, as opposed to previous work where a temporal index common to all subjects was used. Third, we develop a novel iterative estimation process which we call the Two-Cycle Conditional Expectation-Maximization (2CCEM) algorithm and is flexible enough to handle a variety of different types of datasets. The model is applied on a panel measuring attributes related to the operation of water and sanitation utilities.
