Time Series In High Dimensions

Time Series In High Dimensions

by Matteo Barigozzi, Marc Hallin, Marco Lippi

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About
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.

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