Choosing a dynamic common factor as a coincident index

DOI10.1016/J.SPL.2015.11.008zbMath1384.62292OpenAlexW2216127434MaRDI QIDQ143760

Wilmer Martínez, Pilar Poncela, Fabio H. Nieto, Fabio H. Nieto, Pilar Poncela, Wilmer Martínez

Publication date: February 2016

Published in: Statistics & Probability Letters, Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.11.008

zbMATH Keywords

coincident indexescoincident profiledynamic common factors

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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• Factor modeling for high-dimensional time series: inference for the number of factors
• Nonstationary dynamic factor analysis
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• COINTEGRATION AND COMMON FACTORS
• Measuring World Business Cycles
• Forecasting Using Principal Components From a Large Number of Predictors
• Testing Statistical Hypotheses
• The Generalized Dynamic Factor Model

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