Principal Components Analysis of Cointegrated Time Series
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- Harris, David, 1997. "Principal Components Analysis of Cointegrated Time Series," Econometric Theory, Cambridge University Press, vol. 13(04), pages 529-557, August.
References listed on IDEAS
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More about this item
KeywordsCOINTEGRATION; TIME SERIES; EVALUATION;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
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