Publication: Cointegration and common factors
Loading...
Identifiers
Publication date
1993-04
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Impact
Export
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.
Description
Keywords
Dynamic factors models, Cointegration, Common factors, Unit roots, VAR models