Dynamic factor models /:
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Gespeichert in:
| Weitere Verfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
United Kingdom :
Emerald Group Publishing Limited,
2016.
|
| Ausgabe: | First edition. |
| Schriftenreihe: | Advances in econometrics ;
vol. 35. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications. |
| Beschreibung: | 1 online resource |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9781785603525 1785603523 1785603531 9781785603532 |
Internformat
MARC
| LEADER | 00000cam a2200000 i 4500 | ||
|---|---|---|---|
| 001 | ZDB-4-EBA-ocn935323958 | ||
| 003 | OCoLC | ||
| 005 | 20241004212047.0 | ||
| 006 | m o d | ||
| 007 | cr cnu|||unuuu | ||
| 008 | 160120s2016 enk ob 000 0 eng d | ||
| 040 | |a N$T |b eng |e rda |e pn |c N$T |d IDEBK |d N$T |d CDX |d YDXCP |d OCLCF |d EBLCP |d CAUOI |d CCO |d MERUC |d LOA |d COCUF |d K6U |d STF |d PIFAG |d FVL |d AGLDB |d OCLCQ |d S3O |d ESU |d DEBSZ |d ZCU |d U3W |d D6H |d WRM |d OCLCQ |d VTS |d ICG |d OTZ |d OCLCQ |d TKN |d DKC |d AU@ |d OCLCQ |d UKAHL |d BWS |d OCLCQ |d AJS |d OCLCO |d OCLCQ |d OCLCO |d OCLCL |d UEJ |d OCLCO |d OCLCQ |d OCLKB |d OCLCQ | ||
| 019 | |a 948378287 |a 1104296502 |a 1118518933 |a 1167142307 |a 1259138014 |a 1432669657 | ||
| 020 | |a 9781785603525 |q (electronic bk.) | ||
| 020 | |a 1785603523 |q (electronic bk.) | ||
| 020 | |a 1785603531 | ||
| 020 | |a 9781785603532 | ||
| 020 | |z 9781785603532 | ||
| 035 | |a (OCoLC)935323958 |z (OCoLC)948378287 |z (OCoLC)1104296502 |z (OCoLC)1118518933 |z (OCoLC)1167142307 |z (OCoLC)1259138014 |z (OCoLC)1432669657 | ||
| 050 | 4 | |a HB172.5 | |
| 072 | 7 | |a BUS |x 039000 |2 bisacsh | |
| 072 | 7 | |a POL |x 023000 |2 bisacsh | |
| 072 | 7 | |a KCH |2 bicssc | |
| 080 | |a 339 | ||
| 082 | 7 | |a 339 |2 23 | |
| 049 | |a MAIN | ||
| 245 | 0 | 0 | |a Dynamic factor models / |c edited by Eric Hillebrand, Siem Jan Koopman. |
| 250 | |a First edition. | ||
| 264 | 1 | |a United Kingdom : |b Emerald Group Publishing Limited, |c 2016. | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Advances in econometrics ; |v vol. 35 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Vendor-supplied metadata. | |
| 505 | 0 | |a Front Cover; Dynamic Factor Models; Copyright page; Contents; List of Contributors; Editorial Introduction; Dynamic Factor Models: A Brief Retrospective; Notes; References; Part I: Methodology; An Overview of the Factor-augmented Error-Correction Model; 1. Introduction; 2. Factor-augmented error-correction model; 2.1. Representation of the FECM; 2.2. The FECM Form for Forecasting; 2.3. The FECM Form for Structural Analysis; 3. Data and empirical applications; 4. Forecasting macroeconomic variables; 4.1. Forecasting Results for the Euro Area; 4.2. Forecasting Results for the United States. | |
| 505 | 8 | |a 4.3. Robustness Check to I(1) Idiosyncratic Errors5. Transmission of Monetary Policy Shocks in the FECM; 6. Conclusions; Notes; Acknowledgements; References; Appendix A. Additional Forecasting Results; Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case; 1. Introduction; 2. Mixed-Frequency Estimators; 2.1 Extended Yule-Walker Estimators: The Stock Case; 2.2 Extended Yule-Walker Estimators: The General Case; 2.3 Maximum Likelihood Estimation and the EM Algorithm; 3. Projecting the MF Estimators on the Parameter Space. | |
| 505 | 8 | |a 3.1 Stabilization of the Estimated System Parameters3.2 Positive (Semi)-Definiteness of the Noise Covariance Matrix; 4. Asymptotic Properties of the XYW/GMM Estimators; 5. Simulations; 6. Outlook and Conclusions; Acknowledgments; References; Appendix; Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?; 1. Introduction; 2. A Standard Gaussian Term Structure Model; 2.1. The General Model; 2.2. The CR Model; 2.3. Negative Short-Rate Projections in Standard Models; 3. A Shadow-Rate Model; 3.1. The Option-Based Approach to the Shadow-Rate Model; 3.2. The B-CR Model. | |
| 505 | 8 | |a 3.3. Measuring the Effect of the ZLB3.4. Nonzero Lower Bound for the Short Rate; 4. Comparing Affine and Shadow-Rate Models; 4.1. Analysis of Parameter Estimates; 4.2. In-Sample Fit and Yield Volatility; 4.3. Forecast Performance; 4.3.1. Short-Rate Forecasts; 4.3.2. Yield Forecasts; 4.4. Decomposing 10-Year Yields; 4.5. Assessing Recent Shifts in Near-Term Monetary Policy Expectations; 5. Conclusion; Notes; Acknowledgments; References; Appendix A: How Good is the Option-Based Approximation?; Appendix B: Formula for Policy Expectations in AFNS and B-AFNS Models. | |
| 505 | 8 | |a Appendix C: Analytical Formulas for Averages of Policy Expectations and for Term Premiums in the CR ModelDynamic Factor Models for the Volatility Surface; 1. Introduction; 2. Volatility Surface Data; 2.1. Constructing the Volatility Surface; 2.2. Summary Statistics and Preliminary Analysis; 3. Models for the Volatility Surface; 3.1. General DFM; 3.2. Restricted Economic DFMs; 3.3. Spline-Based DFMs; 4. Main Results; 5. Robustness and Extensions; 5.1. Alternative Surface Construction; 5.2. Higher-Dimensional Models; 5.3. Alternative Factor Dynamics. | |
| 520 | |a This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications. | ||
| 650 | 0 | |a Macroeconomics. |0 http://id.loc.gov/authorities/subjects/sh85079443 | |
| 650 | 0 | |a Macroeconomics |x Econometric models. |0 http://id.loc.gov/authorities/subjects/sh2008107159 | |
| 650 | 6 | |a Macroéconomie. | |
| 650 | 7 | |a Econometrics. |2 bicssc | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Economics |x Macroeconomics. |2 bisacsh | |
| 650 | 7 | |a POLITICAL SCIENCE |x Economic Conditions. |2 bisacsh | |
| 650 | 7 | |a Macroeconomics |2 fast | |
| 650 | 7 | |a Macroeconomics |x Econometric models |2 fast | |
| 700 | 1 | |a Hillebrand, Eric, |e editor. | |
| 700 | 1 | |a Koopman, S. J. |q (Siem Jan), |e editor. |1 https://id.oclc.org/worldcat/entity/E39PBJtcMmxYthWRx97xxqDQbd |0 http://id.loc.gov/authorities/names/n00008824 | |
| 776 | 0 | 8 | |i Print version: |a Hillebrand, Eric. |t Dynamic Factor Models. |d Bradford, West Yorkshire : Emerald Group Publishing Limited, ©2016 |z 9781785603532 |
| 830 | 0 | |a Advances in econometrics ; |v vol. 35. |0 http://id.loc.gov/authorities/names/no98010995 | |
| 856 | 4 | 0 | |l FWS01 |p ZDB-4-EBA |q FWS_PDA_EBA |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1157190 |3 Volltext |
| 938 | |a Askews and Holts Library Services |b ASKH |n AH28829685 | ||
| 938 | |a Coutts Information Services |b COUT |n 31870686 | ||
| 938 | |a EBL - Ebook Library |b EBLB |n EBL4500555 | ||
| 938 | |a EBSCOhost |b EBSC |n 1157190 | ||
| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n cis31870686 | ||
| 938 | |a YBP Library Services |b YANK |n 12536765 | ||
| 938 | |b OCKB |z perlego.catalogue,b135c432-7d22-4f45-88b3-75665ca421c5-emi | ||
| 994 | |a 92 |b GEBAY | ||
| 912 | |a ZDB-4-EBA | ||
| 049 | |a DE-863 | ||
Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBA-ocn935323958 |
|---|---|
| _version_ | 1816882336798605312 |
| adam_text | |
| any_adam_object | |
| author2 | Hillebrand, Eric Koopman, S. J. (Siem Jan) |
| author2_role | edt edt |
| author2_variant | e h eh s j k sj sjk |
| author_GND | http://id.loc.gov/authorities/names/n00008824 |
| author_facet | Hillebrand, Eric Koopman, S. J. (Siem Jan) |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HB172 |
| callnumber-raw | HB172.5 |
| callnumber-search | HB172.5 |
| callnumber-sort | HB 3172.5 |
| callnumber-subject | HB - Economic Theory and Demography |
| collection | ZDB-4-EBA |
| contents | Front Cover; Dynamic Factor Models; Copyright page; Contents; List of Contributors; Editorial Introduction; Dynamic Factor Models: A Brief Retrospective; Notes; References; Part I: Methodology; An Overview of the Factor-augmented Error-Correction Model; 1. Introduction; 2. Factor-augmented error-correction model; 2.1. Representation of the FECM; 2.2. The FECM Form for Forecasting; 2.3. The FECM Form for Structural Analysis; 3. Data and empirical applications; 4. Forecasting macroeconomic variables; 4.1. Forecasting Results for the Euro Area; 4.2. Forecasting Results for the United States. 4.3. Robustness Check to I(1) Idiosyncratic Errors5. Transmission of Monetary Policy Shocks in the FECM; 6. Conclusions; Notes; Acknowledgements; References; Appendix A. Additional Forecasting Results; Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case; 1. Introduction; 2. Mixed-Frequency Estimators; 2.1 Extended Yule-Walker Estimators: The Stock Case; 2.2 Extended Yule-Walker Estimators: The General Case; 2.3 Maximum Likelihood Estimation and the EM Algorithm; 3. Projecting the MF Estimators on the Parameter Space. 3.1 Stabilization of the Estimated System Parameters3.2 Positive (Semi)-Definiteness of the Noise Covariance Matrix; 4. Asymptotic Properties of the XYW/GMM Estimators; 5. Simulations; 6. Outlook and Conclusions; Acknowledgments; References; Appendix; Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?; 1. Introduction; 2. A Standard Gaussian Term Structure Model; 2.1. The General Model; 2.2. The CR Model; 2.3. Negative Short-Rate Projections in Standard Models; 3. A Shadow-Rate Model; 3.1. The Option-Based Approach to the Shadow-Rate Model; 3.2. The B-CR Model. 3.3. Measuring the Effect of the ZLB3.4. Nonzero Lower Bound for the Short Rate; 4. Comparing Affine and Shadow-Rate Models; 4.1. Analysis of Parameter Estimates; 4.2. In-Sample Fit and Yield Volatility; 4.3. Forecast Performance; 4.3.1. Short-Rate Forecasts; 4.3.2. Yield Forecasts; 4.4. Decomposing 10-Year Yields; 4.5. Assessing Recent Shifts in Near-Term Monetary Policy Expectations; 5. Conclusion; Notes; Acknowledgments; References; Appendix A: How Good is the Option-Based Approximation?; Appendix B: Formula for Policy Expectations in AFNS and B-AFNS Models. Appendix C: Analytical Formulas for Averages of Policy Expectations and for Term Premiums in the CR ModelDynamic Factor Models for the Volatility Surface; 1. Introduction; 2. Volatility Surface Data; 2.1. Constructing the Volatility Surface; 2.2. Summary Statistics and Preliminary Analysis; 3. Models for the Volatility Surface; 3.1. General DFM; 3.2. Restricted Economic DFMs; 3.3. Spline-Based DFMs; 4. Main Results; 5. Robustness and Extensions; 5.1. Alternative Surface Construction; 5.2. Higher-Dimensional Models; 5.3. Alternative Factor Dynamics. |
| ctrlnum | (OCoLC)935323958 |
| dewey-full | 339 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 339 - Macroeconomics and related topics |
| dewey-raw | 339 |
| dewey-search | 339 |
| dewey-sort | 3339 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | First edition. |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>06333cam a2200721 i 4500</leader><controlfield tag="001">ZDB-4-EBA-ocn935323958</controlfield><controlfield tag="003">OCoLC</controlfield><controlfield tag="005">20241004212047.0</controlfield><controlfield tag="006">m o d </controlfield><controlfield tag="007">cr cnu|||unuuu</controlfield><controlfield tag="008">160120s2016 enk ob 000 0 eng d</controlfield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">N$T</subfield><subfield code="b">eng</subfield><subfield code="e">rda</subfield><subfield code="e">pn</subfield><subfield code="c">N$T</subfield><subfield code="d">IDEBK</subfield><subfield code="d">N$T</subfield><subfield code="d">CDX</subfield><subfield code="d">YDXCP</subfield><subfield code="d">OCLCF</subfield><subfield code="d">EBLCP</subfield><subfield code="d">CAUOI</subfield><subfield code="d">CCO</subfield><subfield code="d">MERUC</subfield><subfield code="d">LOA</subfield><subfield code="d">COCUF</subfield><subfield code="d">K6U</subfield><subfield code="d">STF</subfield><subfield code="d">PIFAG</subfield><subfield code="d">FVL</subfield><subfield code="d">AGLDB</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">S3O</subfield><subfield code="d">ESU</subfield><subfield code="d">DEBSZ</subfield><subfield code="d">ZCU</subfield><subfield code="d">U3W</subfield><subfield code="d">D6H</subfield><subfield code="d">WRM</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">VTS</subfield><subfield code="d">ICG</subfield><subfield code="d">OTZ</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">TKN</subfield><subfield code="d">DKC</subfield><subfield code="d">AU@</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">UKAHL</subfield><subfield code="d">BWS</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">AJS</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCL</subfield><subfield code="d">UEJ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLKB</subfield><subfield code="d">OCLCQ</subfield></datafield><datafield tag="019" ind1=" " ind2=" "><subfield code="a">948378287</subfield><subfield code="a">1104296502</subfield><subfield code="a">1118518933</subfield><subfield code="a">1167142307</subfield><subfield code="a">1259138014</subfield><subfield code="a">1432669657</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781785603525</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1785603523</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1785603531</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781785603532</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">9781785603532</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)935323958</subfield><subfield code="z">(OCoLC)948378287</subfield><subfield code="z">(OCoLC)1104296502</subfield><subfield code="z">(OCoLC)1118518933</subfield><subfield code="z">(OCoLC)1167142307</subfield><subfield code="z">(OCoLC)1259138014</subfield><subfield code="z">(OCoLC)1432669657</subfield></datafield><datafield tag="050" ind1=" " ind2="4"><subfield code="a">HB172.5</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS</subfield><subfield code="x">039000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">POL</subfield><subfield code="x">023000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">KCH</subfield><subfield code="2">bicssc</subfield></datafield><datafield tag="080" ind1=" " ind2=" "><subfield code="a">339</subfield></datafield><datafield tag="082" ind1="7" ind2=" "><subfield code="a">339</subfield><subfield code="2">23</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">MAIN</subfield></datafield><datafield tag="245" ind1="0" ind2="0"><subfield code="a">Dynamic factor models /</subfield><subfield code="c">edited by Eric Hillebrand, Siem Jan Koopman.</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">First edition.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">United Kingdom :</subfield><subfield code="b">Emerald Group Publishing Limited,</subfield><subfield code="c">2016.</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Advances in econometrics ;</subfield><subfield code="v">vol. 35</subfield></datafield><datafield tag="504" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references.</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Vendor-supplied metadata.</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="a">Front Cover; Dynamic Factor Models; Copyright page; Contents; List of Contributors; Editorial Introduction; Dynamic Factor Models: A Brief Retrospective; Notes; References; Part I: Methodology; An Overview of the Factor-augmented Error-Correction Model; 1. Introduction; 2. Factor-augmented error-correction model; 2.1. Representation of the FECM; 2.2. The FECM Form for Forecasting; 2.3. The FECM Form for Structural Analysis; 3. Data and empirical applications; 4. Forecasting macroeconomic variables; 4.1. Forecasting Results for the Euro Area; 4.2. Forecasting Results for the United States.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">4.3. Robustness Check to I(1) Idiosyncratic Errors5. Transmission of Monetary Policy Shocks in the FECM; 6. Conclusions; Notes; Acknowledgements; References; Appendix A. Additional Forecasting Results; Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case; 1. Introduction; 2. Mixed-Frequency Estimators; 2.1 Extended Yule-Walker Estimators: The Stock Case; 2.2 Extended Yule-Walker Estimators: The General Case; 2.3 Maximum Likelihood Estimation and the EM Algorithm; 3. Projecting the MF Estimators on the Parameter Space.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">3.1 Stabilization of the Estimated System Parameters3.2 Positive (Semi)-Definiteness of the Noise Covariance Matrix; 4. Asymptotic Properties of the XYW/GMM Estimators; 5. Simulations; 6. Outlook and Conclusions; Acknowledgments; References; Appendix; Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?; 1. Introduction; 2. A Standard Gaussian Term Structure Model; 2.1. The General Model; 2.2. The CR Model; 2.3. Negative Short-Rate Projections in Standard Models; 3. A Shadow-Rate Model; 3.1. The Option-Based Approach to the Shadow-Rate Model; 3.2. The B-CR Model.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">3.3. Measuring the Effect of the ZLB3.4. Nonzero Lower Bound for the Short Rate; 4. Comparing Affine and Shadow-Rate Models; 4.1. Analysis of Parameter Estimates; 4.2. In-Sample Fit and Yield Volatility; 4.3. Forecast Performance; 4.3.1. Short-Rate Forecasts; 4.3.2. Yield Forecasts; 4.4. Decomposing 10-Year Yields; 4.5. Assessing Recent Shifts in Near-Term Monetary Policy Expectations; 5. Conclusion; Notes; Acknowledgments; References; Appendix A: How Good is the Option-Based Approximation?; Appendix B: Formula for Policy Expectations in AFNS and B-AFNS Models.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Appendix C: Analytical Formulas for Averages of Policy Expectations and for Term Premiums in the CR ModelDynamic Factor Models for the Volatility Surface; 1. Introduction; 2. Volatility Surface Data; 2.1. Constructing the Volatility Surface; 2.2. Summary Statistics and Preliminary Analysis; 3. Models for the Volatility Surface; 3.1. General DFM; 3.2. Restricted Economic DFMs; 3.3. Spline-Based DFMs; 4. Main Results; 5. Robustness and Extensions; 5.1. Alternative Surface Construction; 5.2. Higher-Dimensional Models; 5.3. Alternative Factor Dynamics.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Macroeconomics.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85079443</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Macroeconomics</subfield><subfield code="x">Econometric models.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh2008107159</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Macroéconomie.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Econometrics.</subfield><subfield code="2">bicssc</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS</subfield><subfield code="x">Economics</subfield><subfield code="x">Macroeconomics.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">POLITICAL SCIENCE</subfield><subfield code="x">Economic Conditions.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Macroeconomics</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Macroeconomics</subfield><subfield code="x">Econometric models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Hillebrand, Eric,</subfield><subfield code="e">editor.</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Koopman, S. J.</subfield><subfield code="q">(Siem Jan),</subfield><subfield code="e">editor.</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PBJtcMmxYthWRx97xxqDQbd</subfield><subfield code="0">http://id.loc.gov/authorities/names/n00008824</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Print version:</subfield><subfield code="a">Hillebrand, Eric.</subfield><subfield code="t">Dynamic Factor Models.</subfield><subfield code="d">Bradford, West Yorkshire : Emerald Group Publishing Limited, ©2016</subfield><subfield code="z">9781785603532</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Advances in econometrics ;</subfield><subfield code="v">vol. 35.</subfield><subfield code="0">http://id.loc.gov/authorities/names/no98010995</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="l">FWS01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FWS_PDA_EBA</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1157190</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">Askews and Holts Library Services</subfield><subfield code="b">ASKH</subfield><subfield code="n">AH28829685</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">Coutts Information Services</subfield><subfield code="b">COUT</subfield><subfield code="n">31870686</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBL - Ebook Library</subfield><subfield code="b">EBLB</subfield><subfield code="n">EBL4500555</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBSCOhost</subfield><subfield code="b">EBSC</subfield><subfield code="n">1157190</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest MyiLibrary Digital eBook Collection</subfield><subfield code="b">IDEB</subfield><subfield code="n">cis31870686</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">12536765</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="b">OCKB</subfield><subfield code="z">perlego.catalogue,b135c432-7d22-4f45-88b3-75665ca421c5-emi</subfield></datafield><datafield tag="994" ind1=" " ind2=" "><subfield code="a">92</subfield><subfield code="b">GEBAY</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection> |
| id | ZDB-4-EBA-ocn935323958 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-27T13:27:00Z |
| institution | BVB |
| isbn | 9781785603525 1785603523 1785603531 9781785603532 |
| language | English |
| oclc_num | 935323958 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource |
| psigel | ZDB-4-EBA |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Emerald Group Publishing Limited, |
| record_format | marc |
| series | Advances in econometrics ; |
| series2 | Advances in econometrics ; |
| spelling | Dynamic factor models / edited by Eric Hillebrand, Siem Jan Koopman. First edition. United Kingdom : Emerald Group Publishing Limited, 2016. 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier Advances in econometrics ; vol. 35 Includes bibliographical references. Vendor-supplied metadata. Front Cover; Dynamic Factor Models; Copyright page; Contents; List of Contributors; Editorial Introduction; Dynamic Factor Models: A Brief Retrospective; Notes; References; Part I: Methodology; An Overview of the Factor-augmented Error-Correction Model; 1. Introduction; 2. Factor-augmented error-correction model; 2.1. Representation of the FECM; 2.2. The FECM Form for Forecasting; 2.3. The FECM Form for Structural Analysis; 3. Data and empirical applications; 4. Forecasting macroeconomic variables; 4.1. Forecasting Results for the Euro Area; 4.2. Forecasting Results for the United States. 4.3. Robustness Check to I(1) Idiosyncratic Errors5. Transmission of Monetary Policy Shocks in the FECM; 6. Conclusions; Notes; Acknowledgements; References; Appendix A. Additional Forecasting Results; Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case; 1. Introduction; 2. Mixed-Frequency Estimators; 2.1 Extended Yule-Walker Estimators: The Stock Case; 2.2 Extended Yule-Walker Estimators: The General Case; 2.3 Maximum Likelihood Estimation and the EM Algorithm; 3. Projecting the MF Estimators on the Parameter Space. 3.1 Stabilization of the Estimated System Parameters3.2 Positive (Semi)-Definiteness of the Noise Covariance Matrix; 4. Asymptotic Properties of the XYW/GMM Estimators; 5. Simulations; 6. Outlook and Conclusions; Acknowledgments; References; Appendix; Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?; 1. Introduction; 2. A Standard Gaussian Term Structure Model; 2.1. The General Model; 2.2. The CR Model; 2.3. Negative Short-Rate Projections in Standard Models; 3. A Shadow-Rate Model; 3.1. The Option-Based Approach to the Shadow-Rate Model; 3.2. The B-CR Model. 3.3. Measuring the Effect of the ZLB3.4. Nonzero Lower Bound for the Short Rate; 4. Comparing Affine and Shadow-Rate Models; 4.1. Analysis of Parameter Estimates; 4.2. In-Sample Fit and Yield Volatility; 4.3. Forecast Performance; 4.3.1. Short-Rate Forecasts; 4.3.2. Yield Forecasts; 4.4. Decomposing 10-Year Yields; 4.5. Assessing Recent Shifts in Near-Term Monetary Policy Expectations; 5. Conclusion; Notes; Acknowledgments; References; Appendix A: How Good is the Option-Based Approximation?; Appendix B: Formula for Policy Expectations in AFNS and B-AFNS Models. Appendix C: Analytical Formulas for Averages of Policy Expectations and for Term Premiums in the CR ModelDynamic Factor Models for the Volatility Surface; 1. Introduction; 2. Volatility Surface Data; 2.1. Constructing the Volatility Surface; 2.2. Summary Statistics and Preliminary Analysis; 3. Models for the Volatility Surface; 3.1. General DFM; 3.2. Restricted Economic DFMs; 3.3. Spline-Based DFMs; 4. Main Results; 5. Robustness and Extensions; 5.1. Alternative Surface Construction; 5.2. Higher-Dimensional Models; 5.3. Alternative Factor Dynamics. This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications. Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Macroeconomics Econometric models. http://id.loc.gov/authorities/subjects/sh2008107159 Macroéconomie. Econometrics. bicssc BUSINESS & ECONOMICS Economics Macroeconomics. bisacsh POLITICAL SCIENCE Economic Conditions. bisacsh Macroeconomics fast Macroeconomics Econometric models fast Hillebrand, Eric, editor. Koopman, S. J. (Siem Jan), editor. https://id.oclc.org/worldcat/entity/E39PBJtcMmxYthWRx97xxqDQbd http://id.loc.gov/authorities/names/n00008824 Print version: Hillebrand, Eric. Dynamic Factor Models. Bradford, West Yorkshire : Emerald Group Publishing Limited, ©2016 9781785603532 Advances in econometrics ; vol. 35. http://id.loc.gov/authorities/names/no98010995 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1157190 Volltext |
| spellingShingle | Dynamic factor models / Advances in econometrics ; Front Cover; Dynamic Factor Models; Copyright page; Contents; List of Contributors; Editorial Introduction; Dynamic Factor Models: A Brief Retrospective; Notes; References; Part I: Methodology; An Overview of the Factor-augmented Error-Correction Model; 1. Introduction; 2. Factor-augmented error-correction model; 2.1. Representation of the FECM; 2.2. The FECM Form for Forecasting; 2.3. The FECM Form for Structural Analysis; 3. Data and empirical applications; 4. Forecasting macroeconomic variables; 4.1. Forecasting Results for the Euro Area; 4.2. Forecasting Results for the United States. 4.3. Robustness Check to I(1) Idiosyncratic Errors5. Transmission of Monetary Policy Shocks in the FECM; 6. Conclusions; Notes; Acknowledgements; References; Appendix A. Additional Forecasting Results; Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case; 1. Introduction; 2. Mixed-Frequency Estimators; 2.1 Extended Yule-Walker Estimators: The Stock Case; 2.2 Extended Yule-Walker Estimators: The General Case; 2.3 Maximum Likelihood Estimation and the EM Algorithm; 3. Projecting the MF Estimators on the Parameter Space. 3.1 Stabilization of the Estimated System Parameters3.2 Positive (Semi)-Definiteness of the Noise Covariance Matrix; 4. Asymptotic Properties of the XYW/GMM Estimators; 5. Simulations; 6. Outlook and Conclusions; Acknowledgments; References; Appendix; Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?; 1. Introduction; 2. A Standard Gaussian Term Structure Model; 2.1. The General Model; 2.2. The CR Model; 2.3. Negative Short-Rate Projections in Standard Models; 3. A Shadow-Rate Model; 3.1. The Option-Based Approach to the Shadow-Rate Model; 3.2. The B-CR Model. 3.3. Measuring the Effect of the ZLB3.4. Nonzero Lower Bound for the Short Rate; 4. Comparing Affine and Shadow-Rate Models; 4.1. Analysis of Parameter Estimates; 4.2. In-Sample Fit and Yield Volatility; 4.3. Forecast Performance; 4.3.1. Short-Rate Forecasts; 4.3.2. Yield Forecasts; 4.4. Decomposing 10-Year Yields; 4.5. Assessing Recent Shifts in Near-Term Monetary Policy Expectations; 5. Conclusion; Notes; Acknowledgments; References; Appendix A: How Good is the Option-Based Approximation?; Appendix B: Formula for Policy Expectations in AFNS and B-AFNS Models. Appendix C: Analytical Formulas for Averages of Policy Expectations and for Term Premiums in the CR ModelDynamic Factor Models for the Volatility Surface; 1. Introduction; 2. Volatility Surface Data; 2.1. Constructing the Volatility Surface; 2.2. Summary Statistics and Preliminary Analysis; 3. Models for the Volatility Surface; 3.1. General DFM; 3.2. Restricted Economic DFMs; 3.3. Spline-Based DFMs; 4. Main Results; 5. Robustness and Extensions; 5.1. Alternative Surface Construction; 5.2. Higher-Dimensional Models; 5.3. Alternative Factor Dynamics. Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Macroeconomics Econometric models. http://id.loc.gov/authorities/subjects/sh2008107159 Macroéconomie. Econometrics. bicssc BUSINESS & ECONOMICS Economics Macroeconomics. bisacsh POLITICAL SCIENCE Economic Conditions. bisacsh Macroeconomics fast Macroeconomics Econometric models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85079443 http://id.loc.gov/authorities/subjects/sh2008107159 |
| title | Dynamic factor models / |
| title_auth | Dynamic factor models / |
| title_exact_search | Dynamic factor models / |
| title_full | Dynamic factor models / edited by Eric Hillebrand, Siem Jan Koopman. |
| title_fullStr | Dynamic factor models / edited by Eric Hillebrand, Siem Jan Koopman. |
| title_full_unstemmed | Dynamic factor models / edited by Eric Hillebrand, Siem Jan Koopman. |
| title_short | Dynamic factor models / |
| title_sort | dynamic factor models |
| topic | Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Macroeconomics Econometric models. http://id.loc.gov/authorities/subjects/sh2008107159 Macroéconomie. Econometrics. bicssc BUSINESS & ECONOMICS Economics Macroeconomics. bisacsh POLITICAL SCIENCE Economic Conditions. bisacsh Macroeconomics fast Macroeconomics Econometric models fast |
| topic_facet | Macroeconomics. Macroeconomics Econometric models. Macroéconomie. Econometrics. BUSINESS & ECONOMICS Economics Macroeconomics. POLITICAL SCIENCE Economic Conditions. Macroeconomics Macroeconomics Econometric models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1157190 |
| work_keys_str_mv | AT hillebranderic dynamicfactormodels AT koopmansj dynamicfactormodels |