Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
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 |
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