50
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Measuring co-movements in the Euro area using a nonstationary factor model

, &
Pages 781-785 | Published online: 01 Aug 2008

References

  • Bai , J. 2004 . Estimating cross-section stochastic trends in non-stationary panel data . Journal of Econometrics , 122 : 137 – 84 .
  • Bai , J. and Ng , S. 2004 . A panic attack of unit root and cointegration . Econometrica , 72 : 1127 – 77 .
  • Choi, I. (2002) Combination of unit root tests for cross-sectionally correlated panels, mimeo, Kong Kong University of Science and Technology
  • Christiano, L. J. and Fitzgerald T. J. (1999) The band-pass filter, NBER Working Paper 7257
  • Forni , M. , Hallin , M. , Lippi , M. and Reichlin , L. 2000 . The generalised dynamic factor model: identification and estimation . Review of Economics and Statistics , 82 : 540 – 54 .
  • Harding , D. and Pagan , A. 2002 . Dissecting the cycle: a methodological investigation . Journal of Monetary Economics , 49 : 365 – 81 .
  • Stock, J. and Watson M. (1998) Diffusion indexes, NBER Working Paper 6072

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.