Dynamic factor models

• Other Authors: Hillebrand, Eric, Koopman, S. J. (Siem Jan)
• Format: Electronic eBook
• Language: English
• Published: Bingley, U.K. : Emerald, 2016.
• Series: Advances in econometrics ; v. 35.
• Subjects: Business & Economics > Economics > Macroeconomics.; Econometrics.; Macroeconomics.; Macroeconomics > Econometric models.

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 ri...