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

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article

Principal component analysis for a mix of stationary and nonstationary variables

Journal of Econometrics
Monetary Policy and Economic Impact
article

Principal component analysis for a mix of stationary and nonstationary variables

article en

Abstract

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.

Journal of EconometricsVol. 258
National Natural Science Foundation of China
Openalex Percentile: Top 99%
Monetary Policy and Economic Impact
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Principal component analysis for a mix of stationary and nonstationary variables · Journal of Econometrics (2026) | TGRS Research Map | TGRS