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Principal Component Analysis for Nonstationary Series / James D. Hamilton, Jin Xi.
- Format:
- Book
- Author/Creator:
- Hamilton, James D.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w32068.
- NBER working paper series no. w32068
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2024.
- Summary:
- 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.
- Notes:
- Print version record
- January 2024.
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