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dc.contributor.authorMACIEJOWSKA, Katarzyna
dc.date.accessioned2010-07-02T09:50:19Z
dc.date.available2010-07-02T09:50:19Z
dc.date.issued2010
dc.identifier.issn1725-6704
dc.identifier.urihttps://hdl.handle.net/1814/14236
dc.description.abstractThe paper studies large-dimension factor models with nonstationary factors and allows for deterministic trends and factors integrated of order higher then one. We follow the model specification of Bai (2004) and derive the convergence rates and the limiting distributions of estimated factors, factors loadings and common components. We discuss in detail a model with a linear time trend. We illustrate the theory with an empirical example that studies the fluctuations of the real activity of U.S. economy. We show that these fluctuations can be explained by two nonstationary factors and a small number of stationary factors. We test the economic interpretation of nonstationary factors.en
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2010/28en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCommon-stochastic trendsen
dc.subjectDynamic factorsen
dc.subjectGeneralized dynamic factor modelsen
dc.subjectPrincipal componentsen
dc.subjectNonstationary panel dataen
dc.subjectC13en
dc.subjectC33en
dc.subjectC43en
dc.titleCommon Factors in Nonstationary Panel Data with a Deterministic Trend – Estimation and Distribution Theoryen
dc.typeWorking Paperen
dc.neeo.contributorMACIEJOWSKA|Katarzyna|aut|
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