Modeling high-dimensional unit-root time series
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DOI: 10.1016/j.ijforecast.2020.09.008
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- Gao, Zhaoxing & Tsay, Ruey S., 2023. "A Two-Way Transformed Factor Model for Matrix-Variate Time Series," Econometrics and Statistics, Elsevier, vol. 27(C), pages 83-101.
- Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
- Puyi Fang & Zhaoxing Gao & Ruey S. Tsay, 2023. "Determination of the effective cointegration rank in high-dimensional time-series predictive regressions," Papers 2304.12134, arXiv.org, revised Apr 2023.
- Fang, Puyi & Gao, Zhaoxing & Tsay, Ruey S., 2023. "Supervised kernel principal component analysis for forecasting," Finance Research Letters, Elsevier, vol. 58(PA).
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Keywords
Common factor; Cointegration; Eigenanalysis; Factor model; High-dimensional time series; Unit root;All these keywords.
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