|
Archivo Abierto Institucional de la Universidad Carlos III de Madrid >
Investigación >
Departamentos >
Departamento de Economía >
DE - Artículos de Revistas >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/2545
|
| Title: | Cointegration and Common Factors |
| Author(s): | Escribano, Álvaro [alvaroe]
Peña, Daniel |
| Publisher: | Blackwell (Oxford) |
| Issued date: | 1994 |
| Citation: | Journal of Time Series Analysis, 1994, vol.15, nº 6, p. 577-586 |
| URI: | http://hdl.handle.net/10016/2545 |
| ISSN: | 0143-9782 |
| DOI: | 10.1111/j.1467-9892.1994.tb00213.x |
| Abstract: | Abstract. Alternative common factor representations for cointegrated vectors are studied. This is done by embedding them into the dynamic factor model proposed by Peña and Box (Identifying a simplifying structure in time series. J. Am. Statist. Assoc. 82 (1987), 836?43). It is shown that dynamic factor models produce as a particular case the alternative common trend representations for cointegrated variables available in the literature. Furthermore a new normalization is proposed which has the advantage of producing common trend representations with moving-average polynomials and under certain circumstances with uncorrelated shocks. |
| Review: | PeerReviewed |
| Publisher version: | http://www3.interscience.wiley.com/journal/119836832/issue |
| Keywords: | Dynamic factor models cointegration common factors common trends uncorrelated shocks |
| Appears in Collections: | Economists Online
DE - Artículos de Revistas
|
Items in E-Archivo are protected by copyright, with all rights reserved, unless otherwise indicated.
|
