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Cointegration and common factors

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorEscribano, Álvaro
dc.contributor.authorPeña, Daniel
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-02-17T10:11:56Z
dc.date.available2009-02-17T10:11:56Z
dc.date.issued1993-04
dc.description.abstractAlternative 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.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/3680
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometrics;
dc.relation.ispartofseries1993-11-09
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherDynamic factors models
dc.subject.otherCointegration
dc.subject.otherCommon factors
dc.subject.otherUnit roots
dc.subject.otherVAR models
dc.titleCointegration and common factors
dc.typeworking paper*
dspace.entity.typePublication
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