Determining the number of factors in a multivariate error correction--volatility factor model
In order to describe the co-movements in both conditional mean and conditional variance of high dimensional non-stationary time series by dimension reduction, we introduce the conditional heteroscedasticity with factor structure to the error correction model (ECM). The new model is called the error correction--volatility factor model (EC--VF). Some specification and estimation approaches are developed. In particular, the determination of the number of factors is discussed. Our setting is general in the sense that we impose neither i.i.d. assumption on idiosyncratic components in the factor structure nor independence between factors and idiosyncratic errors. We illustrate the proposed approach with a Monte Carlo simulation and a real data example. Copyright The Author(s). Journal compilation Royal Economic Society 2008
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 12 (2009)
Issue (Month): 1 (03)
|Contact details of provider:|| Postal: |
Phone: +44 1334 462479
Web page: http://www.res.org.uk/
More information through EDIRC
|Order Information:||Web: http://www.ectj.org|
When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:12:y:2009:i:1:p:45-61. See general 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: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.