Cyclical common factors in cointegrated systems
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<title>Cyclical common factors in cointegrated systems</title>
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<title>Revista española de economía</title>
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<namePart>Díaz-Emparanza, Ignacio</namePart>
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<namePart>Fernández-Macho, Javier</namePart>
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<abstract>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</abstract>
<note type="statement of responsibility">Ignacio Díaz-Emparanza and Javier Fernández-Macho</note>
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<topic>Econometría</topic>
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<topic>Ciclos económicos</topic>
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<topic>Modelos probabílisticos</topic>
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<topic>Teoría de las variables aleatorias</topic>
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<topic>Análisis del tiempo</topic>
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<title>Spanish Economic Review = Revista española de economía</title>
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<publisher>Barcelona : Universidad Autónoma de Barcelona, Departamento de Economía e Historia Económica</publisher>
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<text>Vol. 8, issue 1, March 2006; p. 53-82</text>
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