Dynamic Factor Models (Advances in Econometrics) (Advances in Econometrics, 35)

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: Siem Jan Koopman, Eric Hillebrand
• | Publisher: Emerald Publishing Limited
• | Publication Date: Jan 08, 2016
• | Number of Pages: 688 pages
• | Language: English
• | Binding: Hardcover
• | ISBN-10: 1785603531
• | ISBN-13: 9781785603532