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Title:Dynamic factor models in estimation and forecasting Author(s):BYSTROV, VictorDate:2008Citation:
- Florence : European University Institute, 2008
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This thesis addresses the issue of the relative performance of dynamic factor models in finite samples in the presence of structural breaks. It extends an existing literature by considering new data sets and evaluating ...