Principal Component Analysis for a Mix of Stationary and Nonstationary Variables
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This paper develops a procedure for uncovering the common cyclical factors that drive a mix of stationary and nonstationary variables. The method does not require knowing which variables are nonstationary or the nature of the nonstationarity. An application to the FREDMD macroeconomic dataset
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美国国家经济研究局创建时间：
2024-01-01
