Factor Extraction in Dynamic Factor Models Kalman Filter Versus Principal Components |
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| Author:
| Ruiz, Esther
Poncela, Pilar |
| Series title: | Foundations and Trends in Econometrics Ser. |
| ISBN: | 978-1-63828-096-5 |
| Publication Date: | Nov 2022 |
| Publisher: | Now Publishers
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| Book Format: | Paperback |
| List Price: | USD $85.00 |
Book Description:
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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.
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.