Principal component analysis for a mix of stationary and nonstationary variables
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 FRED-MD macroeconomic dataset demonstrates that the approach offers similar benefits to those of traditional principal component analysis with some added advantages.
Publication Details
- Journal
- Journal of Econometrics
- Published
- 2026-09-04
- DOI
- https://doi.org/10.1016/j.jeconom.2026.106317
- Primary Topic
- Monetary Policy and Economic Impact
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- National Natural Science Foundation of China