Decomposing a mutivariate time series into common factors and idiosyncratic components, a method called PANIC (Panel Analysis of Non-stationary in Idiosyncratic and Common components) is suggested by Bai and Ng (2004). … Panel Analysis of Nonstationarity in Idiosyncratic and Common Components (PANIC)
If you did not already know: “Panel Analysis of Nonstationarity in Idiosyncratic and Common Components (PANIC)”
13 Monday Apr 2015
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