Principal Component Analysis for Nonstationary Series /
Hamilton, James D.
Principal Component Analysis for Nonstationary Series / James D. Hamilton, Jin Xi. - Cambridge, Mass. National Bureau of Economic Research 2024. - 1 online resource: illustrations (black and white); - NBER working paper series no. w32068 . - Working Paper Series (National Bureau of Economic Research) no. w32068. .
January 2024.
This paper develops a procedure for uncovering the common cyclical factors that drive a mix of stationary and nonstationary variables. The method does not require knowing which variables are nonstationary or the nature of the nonstationarity. An application to the FRED-MD macroeconomic dataset demonstrates that the approach offers similar benefits to those of traditional principal component analysis with some added advantages.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.
Large Data Sets: Modeling and Analysis
General
Principal Component Analysis for Nonstationary Series / James D. Hamilton, Jin Xi. - Cambridge, Mass. National Bureau of Economic Research 2024. - 1 online resource: illustrations (black and white); - NBER working paper series no. w32068 . - Working Paper Series (National Bureau of Economic Research) no. w32068. .
January 2024.
This paper develops a procedure for uncovering the common cyclical factors that drive a mix of stationary and nonstationary variables. The method does not require knowing which variables are nonstationary or the nature of the nonstationarity. An application to the FRED-MD macroeconomic dataset demonstrates that the approach offers similar benefits to those of traditional principal component analysis with some added advantages.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.
Large Data Sets: Modeling and Analysis
General