Common Feature Analysis of Economic Time Series: An Overview and Recent Developments

Marco Centoni () and Gianluca Cubadda

No 355, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: In this paper we overview the literature on common features analysis of economic time series. Starting from the seminal contributions by Engle and Kozicki (1993) and Vahid and Engle (1993), we present and discuss the various notions that have been proposed to detect and model common cyclical features in macroeconometrics. In particular, we analyze in details the link between common cyclical features and the reduced-rank regression model. We also illustrate similarities and differences between the common features methodology and other popular types of multivariate time series modelling. Finally, we discuss some recent developments in this area, such as the implications of common features for univariate time series models and the analysis of common autocorrelation in medium-large dimensional systems.

Keywords: Common features; common cycles; reduced-rank regression; canonical correlation analysis; vector autoregressive models; dynamic factor models; business cycles. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2015-10-05, Revised 2015-10-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (10)

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