Common factors in nonstationary panel data with a deterministic trend - estimation and distribution theory
AbstractThe paper studies large-dimention factor models with nonstationary factors and allows for deterministic trends and factors integrated of order higher then one.We follow the model speci.cation 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 ilustrate the theory with an empirical exmple that studies the fluctuations of the real activity of U.S.economy. We show that these .uctuationas can be explained by two nonstationary factors and a small number of stationary factors. We test the economic interpretation of nonstationary factors.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number ECO2010/28.
Date of creation: 2010
Date of revision:
Contact details of provider:
Postal: Badia Fiesolana, Via dei Roccettini, 9, 50016 San Domenico di Fiesole (FI) Italy
Web page: http://www.eui.eu/ECO/
More information through EDIRC
Common-stochastic trends; Dynamic factors; Generalized dynamic factor models; Principal components; Nonstationary panel data;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-17 (All new papers)
- NEP-ECM-2010-07-17 (Econometrics)
- NEP-ETS-2010-07-17 (Econometric Time Series)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marcia Gastaldo).
If references are entirely missing, you can add them using this form.