Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - 2016
are I(1). We show that Ft is driven by r-c permanent shocks, where c is the cointegration rank of Ft, and q - (r - c) < c … of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non …-Stationary Dynamic Factor Models. The relationship between cointegration of the factors and cointegration of the observable variables is …
