Identification of Common Factors in Multivariate Time Series Modeling
For multivariate time series modelling, it is essential to know the number of common factors that define the behaviour. The traditional approach to this problem is investigating the number of cointegration relations among the data by determining the trace and the maximum eigenvalue and obtaining the...
- Autores:
-
González, Mariano
Nave, Juan M.
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2015
- Institución:
- Universidad Nacional de Colombia
- Repositorio:
- Universidad Nacional de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.unal.edu.co:unal/66550
- Acceso en línea:
- https://repositorio.unal.edu.co/handle/unal/66550
http://bdigital.unal.edu.co/67578/
- Palabra clave:
- 51 Matemáticas / Mathematics
31 Colecciones de estadística general / Statistics
Cointegration
Factor Analysis
Stationarity
Cointegración
Estacionariedad
Factores comunes
Modelo factorial dinámico.
- Rights
- openAccess
- License
- Atribución-NoComercial 4.0 Internacional