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Item Details
| Title:
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DYNAMIC FACTOR MODELS
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| By: |
Siem Jan Koopman (Editor), Eric Hillebrand (Editor) |
| Format: |
Hardback |
| List price:
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£114.99 |
| Our price: |
£103.49 |
| Discount: |
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| You save:
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£11.50 |
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| ISBN 10: |
1785603531 |
| ISBN 13: |
9781785603532 |
| Availability: |
This item will be printed on demand and will usually be dispatched within 10 days.
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| Stock: |
Currently 0 available |
| Publisher: |
EMERALD PUBLISHING LIMITED |
| Pub. date: |
8 January, 2016 |
| Series: |
Advances in Econometrics 35 |
| Pages: |
688 |
| Description: |
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. |
| Synopsis: |
Dynamic factor models (DFM) constitute an active and growing area of research, both in econometrics, in macroeconomics, and in finance. Many applications lie at the center of policy questions raised by the recent financial crises, such as the connections between yields on government debt, credit risk, inflation, and economic growth. This volume collects a key selection of up-to-date contributions that cover a wide range of issues in the context of dynamic factor modeling, such as specification, estimation, and application of DFMs. Examples include further developments in DFM for mixed-frequency data settings, extensions to time-varying parameters and structural breaks, for multi-level factors associated with subsets of variables, in factor augmented error correction models, and in many other related aspects. A number of contributions propose new estimation procedures for DFM, such as spectral expectation-maximization algorithms and Bayesian approaches. Numerous applications are discussed, including the dating of business cycles, implied volatility surfaces, professional forecaster survey data, and many more. |
| Publication: |
UK |
| Imprint: |
Emerald Publishing Limited |
| Returns: |
Returnable |
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