کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097612 | 1376599 | 2006 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Common factors in conditional distributions for bivariate time series
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Common factors in conditional distributions for bivariate time series Common factors in conditional distributions for bivariate time series](/preview/png/5097612.png)
چکیده انگلیسی
A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product of the marginals and the copula, with the conditioning variable being a common factor if it does not directly enter the copula. We show the links between this definition and the idea of a common factor as a dominant feature in standard linear representations. An application using a business cycle indicator as the common factor in the relationship between U.S. income and consumption found that both series held the factor in their marginals but not in the copula.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 132, Issue 1, May 2006, Pages 43-57
Journal: Journal of Econometrics - Volume 132, Issue 1, May 2006, Pages 43-57
نویسندگان
Clive W.J. Granger, Timo Teräsvirta, Andrew J. Patton,