This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
|
423
|
Type:
|
Contributed
|
Date/Time:
|
Tuesday, August 3, 2010 : 2:00 PM to 3:50 PM
|
Sponsor:
|
Business and Economic Statistics Section
|
Abstract - #308512 |
Title:
|
WITHDRAWN: Comparison of Some Dimension-Reduction Techniques in Multivariate Nonstationary Time Series: A Case Study
|
Author(s):
|
Yennyfer Johana Feo
|
Companies:
|
Universidad Nacional de Colombia
|
Address:
|
|
Keywords:
|
Cointegration ;
Common factors ;
Multivariate time series
|
Abstract:
|
The main objective of this paper is to compare three dimension reduction techniques for non-stationary time series that are linear transformations of the initial vector arising from the proposals of Gonzalo and Granger (1995), the transformation of Johansen (1991) and methodology in Peña and Poncela (2006). Finally, the procedures are compared through a time series vector of the Colombian economy. We generated vector autoregressive processes VAR(1) and VAR (2) for vectors of size (px1) with p=2,3,4,5 and 9 in the statistical package R. It was noted that both in simulation and in practice, the reduction by all three methods are very similar. However, the similarity between the series obtained by the Johansen method and the method of Peña and Poncela is more evident. This would lead us to believe that the trends of Johansen, is equivalent to linear transformations from nonstationary model
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2010 program
|
2010 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.