Dynamic Factor Models, Cointegration and Error Correction Mechanisms

Matteo Barigozzi, Marco Lippi and Matteo Luciani

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Keywords: dynamic factor models for I (1) variables; cointegration; granger representation theorem (search for similar items in EconPapers)
JEL-codes: C00 C01 E00 (search for similar items in EconPapers)
Pages: 27 p.
Date: 2014-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Citations: View citations in EconPapers (5)

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Working Paper: Dynamic Factor Models, Cointegration, and Error Correction Mechanisms (2016)
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