Publication:
Spurious relationships in high dimensional systems with strong or mild persistence

Simple item page
dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorGonzalo, Jesús
dc.contributor.authorPitarakis, Jean-Yves
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2020-12-09T17:19:26Z
dc.date.available2020-12-09T17:19:26Z
dc.date.issued2020-12-09
dc.description.abstractThis paper is concerned with the interactions of persistence and dimensionality in the context of the eigenvalue estimation problem of large covariance matrices arising in cointegration and principal component analysis. Following a review of the early and more recent developments in this area we investigate the behaviour of these eigenvalues in a VAR setting that blends pure unit root, local to unit root and mildly integrated components. Our results highlight the seriousness of spurious relationships that may arise in such Big Data environments even when the degree of persistence of variables involved is mild and is affecting only a small proportion of a large data matrix with important implications for forecasts based on principal component regressions and related methods. We argue that first differencing prior to principal component analysis may be suitable even in stationary ornearly-stationary environments.en
dc.identifier.issn2340-5031
dc.identifier.urihttps://hdl.handle.net/10016/31553
dc.identifier.uxxiDT/0000001855es
dc.language.isoengen
dc.relation.ispartofseriesWorking paper. Economicsen
dc.relation.ispartofseries20-12
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.otherSpurious Cointegrationen
dc.subject.otherSpurious Factorsen
dc.subject.otherPersistenceen
dc.subject.otherHigh Dimensional Covariancesen
dc.subject.otherPrincipal Componentsen
dc.titleSpurious relationships in high dimensional systems with strong or mild persistenceen
dc.typeworking paper*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
we2012.pdf
Size:
423.96 KB
Format:
Adobe Portable Document Format
Download
Collections
DE - Working Papers. Economics. WE