Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices

DOI10.1093/ectj/utab034OpenAlexW4226230062MaRDI QIDQ5053119

Riccardo Lucchetti, Chiara Casoli

Publication date: 6 December 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/ectj/utab034

zbMATH Keywords

cointegrationdynamic factor modelscommodity prices co-movementP-T decomposition

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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