Publications [#238553] of Andrew J. Patton

Journal Articles

1. Granger, CWJ; Teräsvirta, T; Patton, AJ, Common factors in conditional distributions for bivariate time series, Journal of Econometrics, vol. 132 no. 1 (2006), pp. 43-57, Elsevier BV, ISSN 0304-4076 [doi]
   (last updated on 2024/04/24)

   Abstract:
   A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product of the marginals and the copula, with the conditioning variable being a common factor if it does not directly enter the copula. We show the links between this definition and the idea of a common factor as a dominant feature in standard linear representations. An application using a business cycle indicator as the common factor in the relationship between U.S. income and consumption found that both series held the factor in their marginals but not in the copula. © 2005 Elsevier B.V. All rights reserved.