COINTEGRATION AND COMMON FACTORS

DOI10.1111/J.1467-9892.1994.TB00213.XMaRDI QIDQ4319852zbMATH OpenOpenAlexFDO

Authors Alvaro Escribano, Daniel Peña

Publication date 15 January 1995

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/2545

zbMATH Keywords

cointegrated vectorscommon factor representationsdynamic factor modelmoving-average polynomialsnew normalizationtrend representationsuncorrelated shocks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• scientific article; zbMATH DE number 1208131
• Continuous time autoregressive models with common stochastic trends
• Alternative representations for cointegrated panels with global stochastic trends
• Cointegration Detection Using Dynamic Factor Models
• Interpreting cointegrating vectors and common stochastic trends

Cites work

• A canonical analysis of multiple time series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimating systems of trending variables
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Identifying a Simplifying Structure in Time Series
• Optimal Inference in Cointegrated Systems
• Spurious regressions in econometrics
• Testing for Common Trends
• THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS

Cited in

(20)

• Computation of the Beveridge--Nelson decomposition for multivariate economic time series
• Choosing a dynamic common factor as a coincident index
• Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
• Editorial: Dynamic factor models
• Forecasting with nonstationary dynamic factor models
• Alternative representations for cointegrated panels with global stochastic trends
• Nonstationary dynamic factor analysis
• An asymptotic invariance property of the common trends under linear transformations of the data
• Interpreting cointegrating vectors and common stochastic trends
• Common factors in conditional distributions for bivariate time series
• Common cyclical features analysis in VAR models with cointegration
• scientific article; zbMATH DE number 1208131 (Why is no real title available?)
• scientific article; zbMATH DE number 1067786 (Why is no real title available?)
• Modeling longevity risk with generalized dynamic factor models and vine-copulae
• Technology Shocks and Cointegration in Quadratic Models of the Firm
• Detecting common dynamics in transitory components
• Cointegration Detection Using Dynamic Factor Models
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Cointegration in a historical perspective
• Cointegration of output, capital, labor, and energy

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