Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
Chiara Casoli and Riccardo (Jack) Lucchetti
| Year of publication: |
2022
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|---|---|
| Authors: | Casoli, Chiara ; Lucchetti, Riccardo |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 25.2022, 2, p. 494-514
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| Subject: | Cointegration | dynamic factor models | P-T decomposition | commodity prices co-movement | Kointegration | Zeitreihenanalyse | Time series analysis | Rohstoffpreis | Commodity price | Theorie | Theory | Dekompositionsverfahren | Decomposition method | Faktorenanalyse | Factor analysis | Schätzung | Estimation | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/ectj/utab034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013253846