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International Journal of Forecasting

Subject Areas: Business and International Management
ISSN: 0169-2070
SJR: 100

Open Access

Journal Article

Modeling High-Dimensional Unit-Root Time Series

Gao, Zhaoxing; Tsay, Ruey S.

2020 Economics

doi:10.1016/j.ijforecast.2020.09.008

Abstract: This paper proposes a new procedure to build factor models for high-dimensional unit-root time series by postulating that a $p$-dimensional unit-root process is a nonsingular linear transformation of a set of unit-root processes, a set of stationary common factors, which are dynamically...

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