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Identifying the time-effect factors of multiple time series

Listed author(s):
  • Yu-pin Hu

    (National Chi Nan University, Taiwan)

Registered author(s):

    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.

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    File URL: http://hdl.handle.net/10.1002/for.948
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    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

    Volume (Year): 24 (2005)
    Issue (Month): 5 ()
    Pages: 379-387

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    Handle: RePEc:jof:jforec:v:24:y:2005:i:5:p:379-387
    DOI: 10.1002/for.948
    Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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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. 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, 09.
    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.
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