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of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non …
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estimation of Non-Stationary Dynamic Factor Models. The relationship between cointegration of the factors and cointegration of …
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In this article, we propose a cointegration-based Permanent-Transitory decomposition for non-stationary Dynamic Factor Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a common and an idiosyncratic component. The common...
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of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non …
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