Open AccessDynamic Factor Models, Cointegration, and Error Correction Mechanisms
Author(s) -
Matteo Barigozzi,
Marco Lippi,
Matteo Luciani
Publication year - 2016
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2016.018
Subject(s) - cointegration , dynamic factor , autoregressive model , rank (graph theory) , dimension (graph theory) , mathematics , error correction model , representation (politics) , singular value , representation theorem , autoregressive–moving average model , econometrics , pure mathematics , combinatorics , physics , eigenvalues and eigenvectors , quantum mechanics , politics , political science , law