Share
Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components (in English)
Esther Ruiz
(Author)
·
Pilar Poncela
(Author)
·
Now Publishers
· Paperback
Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components (in English) - Ruiz, Esther ; Poncela, Pilar
$ 71.58
$ 85.00
You save: $ 13.42
Choose the list to add your product or create one New List
✓ Product added successfully to the Wishlist.
Go to My WishlistsIt will be shipped from our warehouse between
Tuesday, June 25 and
Wednesday, June 26.
You will receive it anywhere in United States between 1 and 3 business days after shipment.
Synopsis "Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components (in English)"
Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components surveys the literature on factor extraction in the context of Dynamic Factor Models (DFMs) fitted to multivariate systems of economic and financial variables. Many of the most popular factor extraction procedures often used in empirical applications are based on either Principal Components (PC) or Kalman filter and smoothing (KFS) techniques. First, the authors show that the KFS factors are a weighted average of the contemporaneous information (PC factors) and the past information and that the weights of the latter are negligible unless the factors are closed to the non-stationarity boundary and/or their loadings are pretty small when compared with the variance-covariance matrix of the idiosyncratic components. Second, the authors survey how PC and KFS deal with several issues often faced in the context of extracting factors from real data systems. In particular, they describe PC and KFS procedures to deal with mixed frequencies and missing observations, structural breaks, non-stationarity, Markov-switching parameters or multi-level factor structures. In general, KFS is very flexible to deal with these issues.
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
All books in our catalog are Original.
The book is written in English.
The binding of this edition is Paperback.
✓ Producto agregado correctamente al carro, Ir a Pagar.
