|
Archivo Abierto Institucional de la Universidad Carlos III de Madrid >
Investigación >
Departamentos >
Departamento de Estadística >
DES - Working Papers. Statistics and Econometrics. WS >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/3680
|
Files in This Item:
| ws931109.pdf | -- 2009-02-17 -- Available on Internet -- preprint | 490,55 kB | Adobe PDF | |  |
|
| Title: | Cointegration and common factors |
| Author(s): | Escribano, Álvaro [alvaroe]
Peña, Daniel |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Apr-1993 |
| URI: | http://hdl.handle.net/10016/3680 |
| Abstract: | Alternative common factors representations for cointegrated vectors are studied. It is shown that dynamic factor models produce as particular cases the alternative common trend representations for cointegrated variables available in the literature, including the one of Stock and Watson(1988). Furthermore, it is proved that common factor representations with I(1) components imply cointegration. A more efficient procedure for fmding the numbers of cointegrated vectors based on this dynamic factors model is suggested. |
| Serie / Nº.: | UC3M Working Papers. Statistics and Econometrics;
1993-11-09 |
| Keywords: | Dynamic factors models
Cointegration
Common factors
Unit roots
VAR models |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
Economists Online
|
This item is licensed under a Creative Commons License
Items in E-Archivo are protected by copyright, with all rights reserved, unless otherwise indicated.
|
