Publication: Cointegration and common factors
dc.affiliation.dpto | UC3M. Departamento de Estadística | es |
dc.contributor.author | Escribano, Álvaro | |
dc.contributor.author | Peña, Daniel | |
dc.contributor.editor | Universidad Carlos III de Madrid. Departamento de Estadística | |
dc.date.accessioned | 2009-02-17T10:11:56Z | |
dc.date.available | 2009-02-17T10:11:56Z | |
dc.date.issued | 1993-04 | |
dc.description.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. | |
dc.format.mimetype | application/pdf | |
dc.identifier.uri | https://hdl.handle.net/10016/3680 | |
dc.language.iso | eng | |
dc.relation.ispartofseries | UC3M Working Papers. Statistics and Econometrics; | |
dc.relation.ispartofseries | 1993-11-09 | |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | Estadística | |
dc.subject.other | Dynamic factors models | |
dc.subject.other | Cointegration | |
dc.subject.other | Common factors | |
dc.subject.other | Unit roots | |
dc.subject.other | VAR models | |
dc.title | Cointegration and common factors | |
dc.type | working paper | * |
dspace.entity.type | Publication |
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