| 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.identifier.citation | Florence : European University Institute, 2008 | en |
| dc.identifier.uri | https://hdl.handle.net/1814/10314 | |
| 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.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 |
| dc.identifier.doi | 10.2870/891984 | |
| eui.subscribe.skip | true | |
