Búsqueda
Centro de Documentación

Cyclical common factors in cointegrated systems
Fichero PDF / PDF file
MAP20071507869
Díaz-Emparanza, Ignacio ‌
Cyclical common factors in cointegrated systems / Ignacio Díaz-Emparanza and Javier Fernández-Macho
This paper analizes that a time series vector that is cointegrated at one or several frequencies simultaneously has a common factors representation which belongs to a class of common factor models that encompasses many cointegrating situations found in the literature
En: Spanish Economic Review = Revista española de economía. - Barcelona : Universidad Autónoma de Barcelona, Departamento de Economía e Historia Económica. - Vol. 8, issue 1, March 2006; p. 53-82
1. Econometría ‌. 2. Ciclos económicos ‌. 3. Modelos probabílisticos ‌. 4. Teoría de las variables aleatorias ‌. 5. Análisis del tiempo ‌. I. Fernández-Macho, Javier ‌. II. Título. III. Título: Revista española de economía.