Principal Component Analysis for Nonstationary Series

James D. Hamilton, Jin Xi

This paper develops a procedure for uncovering the common cyclical factors that drive a mix of stationary and nonstationary variables. The method does not require knowing which variables are nonstationary or the nature of the nonstationarity. An application to the FRED-MD macroeconomic dataset demonstrates that the approach offers similar benefits to those of traditional principal component analysis with some added advantages

MoreLess

Year of publication:	January 2024
Authors:	Hamilton, James D. ; Xi, Jin
Institutions:	National Bureau of Economic Research (issuing body)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Hauptkomponentenanalyse \| Principal component analysis \| Methodologie \| Methodology \| Daten \| Data \| Makroökonomik \| Macroeconomics \| Modellierung \| Scientific modelling