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 …

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 …

-dimensional white noise, with q < r. The present paper studies cointegration and error correction representations for an I(1) singular … relationship between the cointegration of the factors and the cointegration of the observable variables in a large …

for consistent estimation of the model as both the cross-sectional size, n, and the time dimension, T, go to infinity, and … whether or not cointegration is imposed. We also propose a new estimator for the non-stationary common factors, as well as an …

There are a number of econometrics tools to deal with the different types of situations in which cointegration can …

There are a number of econometrics tools to deal with the different type of situations in which cointegration can …

discusses inter alia the following issues: estimation and inference for nonstationary time series of the I(1), I(2) and … fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …