Dynamic factor models. Applications in Greek economy and the Greek inflation

• Main Author: Κρίμπας, Νικόλαος
• Other Authors: Krimpas, Nikolaos
• Language: English
• Published: 2022
• Subjects: Dynamic factor models; Principal components; Generalized dynamic factor models; Expectation maximization algorithm; Kalman filters; Greek inflation indeces; Υποδείγματα δυναμικών παραγόντων; Πληθωρισμός

This thesis presents and summarizes a versatile and lately developed statisticalmethod for evaluating and exploiting large datasets for time series analysis. Lately,Factor Models are widely used in macroeconomics to unveil interrelationshipsamong variables and exploit the information which is scatte...