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- W1482239745 abstract "The paper studies large-dimention factor models with nonstationary factors and allows for deterministic trends and factors integrated of order higher then one.We follow the model specification of Bai (2004) and derive the convergence rates and the limiting distributions of estimated factors, factors loadings and common components. We discuss in detail a model with a linear time trend. We ilustrate the theory with an empirical exmple that studies the fluctuations of the real activity of U.S.economy. We show that these fluctuationas can be explained by two nonstationary factors and a small number of stationary factors. We test the economic interpretation of nonstationary factors." @default.
- W1482239745 created "2016-06-24" @default.
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- W1482239745 date "2010-01-01" @default.
- W1482239745 modified "2023-09-27" @default.
- W1482239745 title "Common Factors in Nonstationary Panel Data with a Deterministic Trend – Estimation and Distribution Theory" @default.
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