Identification of Common Factors in Multivariate Time Series Modeling
For multivariate time series modelling, it is essential to know the number of common factors that define the behaviour. The traditional approach to this problem is investigating the number of cointegration relations among the data by determining the trace and the maximum eigenvalue and obtaining the...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Universidad Nacional de Colombia
2015-01-01
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Series: | Revista Colombiana de Estadística |
Subjects: | |
Online Access: | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512015000100012&lng=en&tlng=en |