Cointegration Detection Using Dynamic Factor Models

DOI10.1080/03610910701723997MaRDI QIDQ5451124zbMATH OpenOpenAlexFDO

Authors Kosei Fukuda

Publication date 18 March 2008

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910701723997

zbMATH Keywords

model selectioncointegrationinformation criteriondynamic factor model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Economic time series analysis (91B84)

Recommendations

• Joint detection of unit roots and cointegration: data-based simulation
• Identifying cointegration by eigenanalysis
• COINTEGRATION AND COMMON FACTORS
• Testing for Common Trends
• scientific article; zbMATH DE number 1208131

Cites work

• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• A new look at the statistical model identification
• COINTEGRATION AND COMMON FACTORS
• Differentiating between coefficient break and volatility break
• Editorial: Dynamic factor models
• Estimating the dimension of a model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Finite sample properties of estimators for autoregressive moving average models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Statistical analysis of cointegration vectors
• Testing for Common Trends
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(12)

• Detecting common dynamics in transitory components
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• COINTEGRATION AND COMMON FACTORS
• Joint detection of unit roots and cointegration: data-based simulation
• Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors
• Cointegration methodology for psychological researchers: an introduction to the analysis of dynamic process systems
• Cointegration in continuous time for factor models
• Unit roots and cointegration modelling through a family of flexible information criteria
• Identifying cointegration by eigenanalysis
• Cointegration and Dynamic Simultaneous Equations Model
• Subspace-based methods to determine unit roots and cointegrating ranks
• Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices

This page was built for publication: Cointegration Detection Using Dynamic Factor Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5451124)