Common factors in conditional distributions for Bivariate time series

Granger, Clive W. J., Terasvirta, Timo and Patton, Andrew J. (2003) Common factors in conditional distributions for Bivariate time series. Financial Markets Group Discussion Papers (455). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Text (dp455) - Published Version Download (318kB)

• https://www.fmg.ac.uk/publications/discu...

Abstract

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. The links of this definition with a common factor being a dominant feature in standard linear representations is shown. 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.

Item Type:	Monograph (Discussion Paper)
Official URL:	http://fmg.ac.uk
Additional Information:	© 2003 The Authors
Divisions:	Financial Markets Group
Subjects:	H Social Sciences > HG Finance H Social Sciences > HB Economic Theory
JEL classification:	C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models
Date Deposited:	28 Aug 2009 09:13
Last Modified:	13 Sep 2024 19:50
URI:	http://eprints.lse.ac.uk/id/eprint/24854

Actions (login required)

View Item