Common Factors in Conditional Distributions
AbstractDominant properties of various kinds can be defined for distributions including trends, strong seasonality, business cycles, and a persistent component. We say that in the joint distribution of X and Y, conditional on W has a common factor if W is a dominant component, but it does not appear in the copula, only in the conditional marginal distributions for X and Y. An application is discussed involving national income and consumption and a business cycle indicator. The results suggest that the marginals vary with the business cycle but not the copula.
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Date of creation: 01 Nov 2002
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common factors; seasonality; business cycles;
Other versions of this item:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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