SEOUL NATIONAL UNIVERSITY · CENTER FOR LAW & ECONOMICS
Center for Law & Economics, Seoul National UniversityCENTER FOR LAW & ECONOMICS
ECONOMICS · RESEARCH RECORD
GlobalMacroeconomics

DP22037 Dynamic Factor Models and Cointegration

AT A GLANCE

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The factors in a stationary Dynamic Factor Model are first differences of singular I(1) processes, which are always cointegrated due to their singularity.

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