Essays On The Large Dimensional Approximate Dynamic Factor Model
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Large Dimensional Factor Analysis
Author | : Jushan Bai |
Publisher | : Now Publishers Inc |
Total Pages | : 90 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 1601981449 |
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.
Time Series in High Dimension: the General Dynamic Factor Model
Author | : Marc Hallin |
Publisher | : World Scientific Publishing Company |
Total Pages | : 764 |
Release | : 2020-03-30 |
Genre | : Business & Economics |
ISBN | : 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.
The Oxford Handbook of Economic Forecasting
Author | : Michael P. Clements |
Publisher | : OUP USA |
Total Pages | : 732 |
Release | : 2011-07-08 |
Genre | : Business & Economics |
ISBN | : 0195398645 |
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.
Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes
Author | : Feng Qu |
Publisher | : World Scientific |
Total Pages | : 167 |
Release | : 2020-08-24 |
Genre | : Business & Economics |
ISBN | : 9811220794 |
This book aims to fill the gap between panel data econometrics textbooks, and the latest development on 'big data', especially large-dimensional panel data econometrics. It introduces important research questions in large panels, including testing for cross-sectional dependence, estimation of factor-augmented panel data models, structural breaks in panels and group patterns in panels. To tackle these high dimensional issues, some techniques used in Machine Learning approaches are also illustrated. Moreover, the Monte Carlo experiments, and empirical examples are also utilised to show how to implement these new inference methods. Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes also introduces new research questions and results in recent literature in this field.
Essays in Honor of Cheng Hsiao
Author | : Dek Terrell |
Publisher | : Emerald Group Publishing |
Total Pages | : 418 |
Release | : 2020-04-15 |
Genre | : Business & Economics |
ISBN | : 1789739594 |
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Large-Dimensional Dynamic Factor Models in Real-Time
Author | : Matteo Luciani |
Publisher | : |
Total Pages | : 31 |
Release | : 2014 |
Genre | : |
ISBN | : |
In this paper I review the literature on Large-Dimensional Dynamic Factor Models for real-time applications. I first present the Dynamic Factor model, the implications of using large-dimensional databases, and the challenges of real-time applications. Then, I discuss how the literature has solved these problems, and I present numerous empirical applications that show the usefulness of these models in both constructing business cycle indicators, and predicting economic activity. Finally, I present two recent extensions of the Dynamic Factor model, one in a Bayesian and one in a non-stationary setting.
Dynamic Factor Models
Author | : Siem Jan Koopman |
Publisher | : Emerald Group Publishing |
Total Pages | : 685 |
Release | : 2016-01-08 |
Genre | : Business & Economics |
ISBN | : 1785603523 |
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.
Economics without Borders
Author | : Richard Blundell |
Publisher | : Cambridge University Press |
Total Pages | : 665 |
Release | : 2017-04-27 |
Genre | : Business & Economics |
ISBN | : 1107185157 |
This book uses surveys to bridge the gap between studies into European economics and policymaking in Europe. It is also available as open access.