• Media type: E-Book
  • Title: Principal Component Analysis for Nonstationary Series
  • Contributor: Hamilton, James D. [Author]; Xi, Jin [Author]
  • Corporation: National Bureau of Economic Research
  • Published: Cambridge, Mass: National Bureau of Economic Research, January 2024
  • Published in: NBER working paper series ; no. w32068
  • Extent: 1 Online-Ressource; illustrations (black and white)
  • Language: English
  • Keywords: Hauptkomponentenanalyse ; Methodologie ; Daten ; Makroökonomik ; Modellierung ; Large Data Sets: Modeling and Analysis ; General ; Arbeitspapier ; Graue Literatur
  • Reproduction note: Hardcopy version available to institutional subscribers
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  • Description: 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