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Identifying the time-effect factors of multiple time series

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  • 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
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    References listed on IDEAS

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    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. 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.
    3. 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.
    4. Li K-C. & Shedden K., 2002. "Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 759-765, September.
    5. Lewbel, Arthur, 1991. "The Rank of Demand Systems: Theory and Nonparametric Estimation," Econometrica, Econometric Society, vol. 59(3), pages 711-730, May.
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