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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.

Produktbeschreibung
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.
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Autorenporträt
Edited by Eric Hillebrand, Department of Economics and Business Economics and CREATES, Aarhus University, Aarhus, Denmark Siem Jan Koopman, Department of Econometrics, Vrije Universiteit Amsterdam, The Netherlands, Tinbergen Institute and CREATES