Estimation of Common Long-Memory Components in Cointegrated Systems
- 1 January 1995
- journal article
- Published by JSTOR in Journal of Business & Economic Statistics
- Vol. 13 (1) , 27
- https://doi.org/10.2307/1392518
Abstract
The study of cointegration in large systems requires a reduction of their dimensionality. To achieve this, we propose to obtain the I(1) common factors in every...Keywords
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