Principal Component Analysis for Nonstationary Series / James D. Hamilton, Jin Xi.

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Hamilton, James D

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TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w32068.Publication details: Cambridge, Mass. National Bureau of Economic Research 2024.Description: 1 online resource: illustrations (black and white)Subject(s):

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Abstract: 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.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w32068 (Browse shelf(Opens below))	Not For Loan

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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.