Dynamic Factor Models

by Siem Jan Koopman

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.

• Format: Hardcover
• Language: English
• ISBN: 1785603531
• ISBN13: 9781785603532
• Release Date: January 2016
• Publisher: Emerald Group Publishing
• Length: 688 Pages
• Weight: 2.50 lbs.
• Dimensions: 2.1" x 6.1" x 9.1"