Modeling high-dimensional unit-root time series
Year of publication: |
2021
|
---|---|
Authors: | Gao, Zhaoxing ; Tsay, Ruey S. |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 4, p. 1535-1555
|
Subject: | Cointegration | Common factor | Eigenanalysis | Factor model | High-dimensional time series | Unit root | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Einheitswurzeltest | Unit root test | Faktorenanalyse | Factor analysis | Kointegration |
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