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06272cam a2200793Ii 4500 |
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ocn935323958 |
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OCoLC |
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20220712024601.0 |
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m o d |
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cr cnu|||unuuu |
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160120s2016 enk ob 000 0 eng d |
| 040 ## - CATALOGING SOURCE |
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N$T |
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eng |
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rda |
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pn |
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IDEBK |
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948378287 |
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1104296502 |
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1118518933 |
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1167142307 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781785603525 |
| Qualifying information |
(electronic bk.) |
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| International Standard Book Number |
1785603523 |
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(electronic bk.) |
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| International Standard Book Number |
1785603531 |
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9781785603532 |
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| Cancelled/invalid ISBN |
9781785603532 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
AU@ |
| System control number |
000057076550 |
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| OCLC library identifier |
DEBBG |
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BV044060884 |
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| OCLC library identifier |
DEBSZ |
| System control number |
493171681 |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
(OCoLC)935323958 |
| Canceled/invalid control number |
(OCoLC)948378287 |
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(OCoLC)1104296502 |
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(OCoLC)1118518933 |
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(OCoLC)1167142307 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB172.5 |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
BUS |
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039000 |
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bisacsh |
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POL |
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023000 |
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bisacsh |
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KCH |
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bicssc |
| 080 ## - UNIVERSAL DECIMAL CLASSIFICATION NUMBER |
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| Universal Decimal Classification number |
339 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
339 |
| Edition number |
23 |
| 049 ## - LOCAL HOLDINGS (OCLC) |
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| Holding library |
MAIN |
| 245 00 - TITLE STATEMENT |
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| Title |
Dynamic factor models / |
| Statement of responsibility, etc |
edited by Eric Hillebrand, Siem Jan Koopman. |
| 250 ## - EDITION STATEMENT |
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| Edition statement |
First edition. |
| 264 #1 - |
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United Kingdom : |
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Emerald Group Publishing Limited, |
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2016. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource |
| 336 ## - |
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text |
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txt |
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rdacontent |
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computer |
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c |
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rdamedia |
| 338 ## - |
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online resource |
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cr |
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rdacarrier |
| 490 1# - SERIES STATEMENT |
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| Series statement |
Advances in econometrics ; |
| Volume number/sequential designation |
vol. 35 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc |
Includes bibliographical references. |
| 588 0# - |
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Vendor-supplied metadata. |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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 ## - SUMMARY, ETC. |
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| Summary, etc |
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. |
| 590 ## - LOCAL NOTE (RLIN) |
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| Local note |
eBooks on EBSCOhost |
| Provenance (VM) [OBSOLETE] |
EBSCO eBook Subscription Academic Collection - Worldwide |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Macroeconomics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Macroeconomics |
| General subdivision |
Econometric models. |
| 9 (RLIN) |
45726 |
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Macroéconomie. |
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914094 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Econometrics. |
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bicssc |
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14667 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
BUSINESS & ECONOMICS |
| General subdivision |
Economics |
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Macroeconomics. |
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bisacsh |
| 9 (RLIN) |
857783 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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POLITICAL SCIENCE |
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Economic Conditions. |
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bisacsh |
| 9 (RLIN) |
849865 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Macroeconomics. |
| Source of heading or term |
fast |
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(OCoLC)fst01005221 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Macroeconomics |
| General subdivision |
Econometric models. |
| Source of heading or term |
fast |
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(OCoLC)fst01005225 |
| 9 (RLIN) |
45726 |
| 655 #0 - INDEX TERM--GENRE/FORM |
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Electronic books. |
| 655 #4 - INDEX TERM--GENRE/FORM |
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| Genre/form data or focus term |
Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Hillebrand, Eric, |
| Relator term |
editor. |
| 9 (RLIN) |
764504 |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Koopman, S. J. |
| Fuller form of name |
(Siem Jan), |
| Relator term |
editor. |
| 9 (RLIN) |
201076 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
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| Display text |
Print version: |
| Main entry heading |
Hillebrand, Eric. |
| Title |
Dynamic Factor Models. |
| Place, publisher, and date of publication |
Bradford, West Yorkshire : Emerald Group Publishing Limited, ©2016 |
| International Standard Book Number |
9781785603532 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
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| Uniform title |
Advances in econometrics ; |
| Volume number/sequential designation |
vol. 35. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
<a href="https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1157190">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1157190</a> |
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31870686 |
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EBL4500555 |
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EBSCOhost |
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EBSC |
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1157190 |
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ProQuest MyiLibrary Digital eBook Collection |
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IDEB |
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cis31870686 |
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