Dynamic factor models in estimation and forecasting

dc.contributor.author	BYSTROV, Victor
dc.date.accessioned	2009-01-26T17:27:16Z
dc.date.available	2009-01-26T17:27:16Z
dc.date.issued	2008
dc.description	First made available online 2 June 2015.
dc.description	Defence date: 6 March 2008	en
dc.description	Examining Board: Supervisor: Anindya Banerjee Second reader: Helmut Luetkepohl	en
dc.description.abstract	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 finite sample properties of dynamic factor models and factor-augmented VARs and VECMs in Monte Carlo exercises. Chapter 1 Forecasting Emerging Market Indicators: Brazil and Russia Chapter 2 Co-Breaking and Forecasting Performance of Factor Models Chapter 3 Factor Augmented Error Correction Models	en
dc.format.mimetype	application/pdf
dc.identifier.citation	Florence : European University Institute, 2008	en
dc.identifier.doi	10.2870/891984
dc.identifier.uri	https://hdl.handle.net/1814/10314
dc.language.iso	en	en
dc.publisher	European University Institute	en
dc.relation.ispartofseries	EUI	en
dc.relation.ispartofseries	ECO	en
dc.relation.ispartofseries	PhD Thesis	en
dc.rights	info:eu-repo/semantics/openAccess
dc.subject.lcsh	Econometrics
dc.title	Dynamic factor models in estimation and forecasting	en
dc.type	Thesis	en
dspace.entity.type	Publication
eui.subscribe.skip	true

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