IDEAS home Printed from https://ideas.repec.org/a/jof/jforec/v24y2005i5p379-387.html
   My bibliography  Save this article

Identifying the time-effect factors of multiple time series

Author

Listed:
  • Yu-pin Hu

    (National Chi Nan University, Taiwan)

Abstract

The Pena-Box model is considered for finding the time-effect factors of a multiple time series. This paper first establishes the connection between the Pena-Box model and the vector ARMA model. According to the Pena-Box model, some series can be ignored while modelling the vector ARMA model. A consistent estimator is then proposed to identify the model for nonlinear and nonstationary time series. Finally, the finite-sample behaviour of the estimator is illustrated via simulations. Copyright © 2005 John Wiley & Sons, Ltd.

Suggested Citation

  • Yu-pin Hu, 2005. "Identifying the time-effect factors of multiple time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(5), pages 379-387.
  • Handle: RePEc:jof:jforec:v:24:y:2005:i:5:p:379-387
    DOI: 10.1002/for.948
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1002/for.948
    File Function: Link to full text; subscription required
    Download Restriction: no

    References listed on IDEAS

    as
    1. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
    2. Lewbel, Arthur, 1991. "The Rank of Demand Systems: Theory and Nonparametric Estimation," Econometrica, Econometric Society, vol. 59(3), pages 711-730, May.
    3. Yu-Pin Hu & Rouh-Jane Chou, 2003. "A Dynamic Factor Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 529-538, September.
    4. Geweke, John F & Singleton, Kenneth J, 1981. "Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 37-54, February.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:24:y:2005:i:5:p:379-387. 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). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.