Common factors in conditional distributions

Clive Granger, Timo Teräsvirta and Andrew Patton

No 515, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The definition of common factors in distributions is illustrated by an empirical application to the income-consumption relationship, using monthly US time series. Evidence is found to support the claim that the true relationship between these variables is independent of the phase of the business cycle. The indicator representing the business cycle is thus a common factor in distributions of the type defined and discussed in the paper.

Keywords: bivariate time series; business cycles; conditional distribution; consumption-income relationship; copula; multivariate time-series model (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2002-11-20
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Journal of Econometrics, 2006, pages 43-57.

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Common Factors in Conditional Distributions (2002)
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:hhs:hastef:0515

Access Statistics for this paper

More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Helena Lundin ().