Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity

This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree of pe...

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Detalhes bibliográficos
Autores: Caporale, Guglielmo Maria, Gil-Alana, Luis Alberiko, Piqueras Martinez, Pedro Jose
Tipo de documento: artigo
Data de publicação:2024
País:España
Recursos:Universidad de Málaga
Repositório:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
Idioma:inglês
OAI Identifier:oai:ddfv.ufv.es:10641/6478
Acesso em linha:https://hdl.handle.net/10641/6478
Access Level:Acceso aberto
Palavra-chave:Kalman filter
business cycle
dynamic factor models
economic activity
fractional integration
persistence
state-space models
Economics and Econometrics
Yes
yes
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spelling Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic ActivityCaporale, Guglielmo MariaGil-Alana, Luis AlberikoPiqueras Martinez, Pedro JoseKalman filterbusiness cycledynamic factor modelseconomic activityfractional integrationpersistencestate-space modelsEconomics and EconometricsYesyesThis paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree of persistence and mean-reverting properties of the series. Second, the proposed framework is used to analyse five annual US Real Economic Activity series (Employees, Energy, Industrial Production, Manufacturing, Personal Income) over the period from 1967 to 2019 in order to shed light on their degree of persistence and cyclical behaviour. The results indicate that economic activity in the US is highly persistent and is also characterised by cycles with a periodicity of 6 years and 8 months.Facultad de Derecho, Empresa y Gobierno20242024-12-0120242024-12-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10641/6478reponame:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoriainstname:Universidad de MálagaInglésengopen accesshttp://purl.org/coar/access_right/c_abf2Attribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:ddfv.ufv.es:10641/64782026-06-11T12:44:57Z
dc.title.none.fl_str_mv Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity
title Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity
spellingShingle Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity
Caporale, Guglielmo Maria
Kalman filter
business cycle
dynamic factor models
economic activity
fractional integration
persistence
state-space models
Economics and Econometrics
Yes
yes
title_short Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity
title_full Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity
title_fullStr Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity
title_full_unstemmed Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity
title_sort Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity
dc.creator.none.fl_str_mv Caporale, Guglielmo Maria
Gil-Alana, Luis Alberiko
Piqueras Martinez, Pedro Jose
author Caporale, Guglielmo Maria
author_facet Caporale, Guglielmo Maria
Gil-Alana, Luis Alberiko
Piqueras Martinez, Pedro Jose
author_role author
author2 Gil-Alana, Luis Alberiko
Piqueras Martinez, Pedro Jose
author2_role author
author
dc.contributor.none.fl_str_mv Facultad de Derecho, Empresa y Gobierno
dc.subject.none.fl_str_mv Kalman filter
business cycle
dynamic factor models
economic activity
fractional integration
persistence
state-space models
Economics and Econometrics
Yes
yes
topic Kalman filter
business cycle
dynamic factor models
economic activity
fractional integration
persistence
state-space models
Economics and Econometrics
Yes
yes
description This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree of persistence and mean-reverting properties of the series. Second, the proposed framework is used to analyse five annual US Real Economic Activity series (Employees, Energy, Industrial Production, Manufacturing, Personal Income) over the period from 1967 to 2019 in order to shed light on their degree of persistence and cyclical behaviour. The results indicate that economic activity in the US is highly persistent and is also characterised by cycles with a periodicity of 6 years and 8 months.
publishDate 2024
dc.date.none.fl_str_mv 2024
2024-12-01
2024
2024-12-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/10641/6478
url https://hdl.handle.net/10641/6478
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
instname:Universidad de Málaga
instname_str Universidad de Málaga
reponame_str DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
collection DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812455

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