Common factors in conditional distributions for bivariate time series
AbstractA definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product of the marginals and the copula,ï¿½with the conditioning variable being a common factor if it does not directly enter the copula.ï¿½ The links of this definition with a common factor being a dominant feature in standard linear representations is shown. An application using a business cycle indicator as the common factor in the relationship between U.S. income and consumption found that both series held the factorï¿½ in their marginals but not in the copula.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 132 (2006)
Issue (Month): 1 (May)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group.
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