Eigenstructure of nonstationary factor models

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dc.contributor.author Peña, Daniel
dc.contributor.author Poncela, Pilar
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2009-12-23T12:10:22Z
dc.date.available 2009-12-23T12:10:22Z
dc.date.issued 1997-12
dc.identifier.uri http://hdl.handle.net/10016/6224
dc.description.abstract In this paper we present a generalized dynamic factor model for a vector of time series which seems to provide a general framework to incorporate all the common information included in a collection of variables. The common dynamic structure is explained through a set of common factors, which may be stationary or nonstationary, as in the case of cornmon trends. AIso, it may exist a specific structure for each variable. Identification of the nonstationary I(d) factors is made through the cornmon eigenstructure of the generalized covariance matrices, properly normalized. The number of common trends, or in general I(d) factors, is the number of nonzero eigenvalues of the above matrices. It is also proved that these nonzero eigenvalues are strictIy greater than zero almost sure. Randomness appears in the eigenvalues as well as the eigenvectors, but not on the subspace spanned by the eigenvectors.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 97-90-29
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Cointegration and common factors
dc.subject.other eigenvectors and eigenvalues
dc.subject.other generalized covariance matrices
dc.subject.other factor model
dc.subject.other nonstationary I(d) factors
dc.subject.other vector time series
dc.subject.other Wiener processes
dc.title Eigenstructure of nonstationary factor models
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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