Principal Component Analysis for a Mix of Stationary and Nonstationary Variables

James Hamilton, Xinwei Ma and Jin Xi

No 32068, NBER Working Papers from National Bureau of Economic Research, Inc

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 FREDMD macroeconomic dataset demonstrates that the approach offers similar benefits to those of traditional principal component analysis with some added advantages.

JEL-codes: C55 E30 (search for similar items in EconPapers)
Date: 2024-01
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: EFG
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.nber.org/papers/w32068.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:32068

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w32068

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().