Identification of common factors in multivariate time series modeling

DOI10.15446/RCE.V38N1.48812MaRDI QIDQ5114040zbMATH OpenOpenAlexFDO

Authors Mariano González, Juan M. Nave

Publication date 21 June 2020

Published in Revista Colombiana de Estadística (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.15446/rce.v38n1.48812

zbMATH Keywords

cointegrationfactor analysisstationarity

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Estimation of common factors under cross-sectional and temporal aggregation constraints
• Modelling multiple time series via common factors
• On a new procedure for identifying a dynamic common factor model

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