Non-Stationary Dynamic Factor Models for Large Datasets
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DOI: 10.17016/FEDS.2016.024r1
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More about this item
Keywords
Dynamic Factor models; Cointegration; Common trends; Impulse response functions; Unit root processes;JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- E00 - Macroeconomics and Monetary Economics - - General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-04-09 (Econometrics)
- NEP-ECM-2016-04-16 (Econometrics)
- NEP-ETS-2016-04-09 (Econometric Time Series)
- NEP-ETS-2016-04-16 (Econometric Time Series)
- NEP-MAC-2016-04-09 (Macroeconomics)
- NEP-MAC-2016-04-16 (Macroeconomics)
Statistics
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