Dynamic Factor Models
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Dynamic Factor Models
Author: Siem Jan Koopman
language: en
Publisher: Emerald Group Publishing
Release Date: 2016-01-08
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.
The Oxford Handbook of Economic Forecasting
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.
Modern Econometric Analysis
Author: Olaf Hübler
language: en
Publisher: Springer Science & Business Media
Release Date: 2007-04-29
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.