Timeline for Decomposing the dynamic factor model into non-stationary and stationary factors
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Oct 28, 2015 at 11:50 | vote | accept | Plissken | ||
| Oct 28, 2015 at 11:47 | comment | added | Plissken | @RichardHardy: Yes I know how to rewrite a VAR to a VECM and I was thinking about that as well at one point but didn't think there would such a mistake in the paper. It was after all published in the Journal of Econometrics. I was thinking that there was something else I had missed somehow. Thanks for the comment. | |
| Oct 27, 2015 at 20:39 | answer | added | hejseb | timeline score: 4 | |
| Oct 27, 2015 at 20:37 | comment | added | Richard Hardy | Usually when going from levels to first differences, the number of lags changes by one. E.g. given a VECM$(p)$ process, the corresponding process in levels is VAR$(p+1)$. So perhaps (17) should have one lag less than it has (the last lag is included by mistake)? | |
| Oct 27, 2015 at 20:26 | comment | added | Richard Hardy | I'll try a simple argument: the formulas (16) and (17) in the paper cannot match unless $\gamma'_{ip}=0$ because otherwise (17) involves $F_{t-p-1}$ (coming from $\Delta F_{t-p}$) while (16) does not involve $F_{t-p-1}$. Does that make sense? | |
| Oct 27, 2015 at 19:56 | history | edited | Plissken | CC BY-SA 3.0 |
edited body
|
| Oct 27, 2015 at 18:04 | history | asked | Plissken | CC BY-SA 3.0 |