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Common factors in conditional distributions for bivariate time series

Publication ,  Journal Article
Granger, CWJ; Teräsvirta, T; Patton, AJ
Published in: Journal of Econometrics
2006

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. © 2005 Elsevier B.V. All rights reserved.

Duke Scholars

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

2006

Volume

132

Issue

1

Start / End Page

43 / 57

Related Subject Headings

  • Econometrics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Granger, C. W. J., Teräsvirta, T., & Patton, A. J. (2006). Common factors in conditional distributions for bivariate time series. Journal of Econometrics, 132(1), 43–57. https://doi.org/10.1016/j.jeconom.2005.01.022
Granger, C. W. J., T. Teräsvirta, and A. J. Patton. “Common factors in conditional distributions for bivariate time series.” Journal of Econometrics 132, no. 1 (2006): 43–57. https://doi.org/10.1016/j.jeconom.2005.01.022.
Granger CWJ, Teräsvirta T, Patton AJ. Common factors in conditional distributions for bivariate time series. Journal of Econometrics. 2006;132(1):43–57.
Granger, C. W. J., et al. “Common factors in conditional distributions for bivariate time series.” Journal of Econometrics, vol. 132, no. 1, 2006, pp. 43–57. Scival, doi:10.1016/j.jeconom.2005.01.022.
Granger CWJ, Teräsvirta T, Patton AJ. Common factors in conditional distributions for bivariate time series. Journal of Econometrics. 2006;132(1):43–57.
Journal cover image

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

2006

Volume

132

Issue

1

Start / End Page

43 / 57

Related Subject Headings

  • Econometrics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics