Principal Component Analysis for a Mix of Stationary and Nonstationary Variables

2026-08-24

AI Summary

本文提出了一种方法，用于发现驱动平稳和非平稳变量混合的共同周期因素，无需事先知道哪些变量是非平稳的。

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.

Problem

• Principal Component Analysis
• Stationary Variables
• Nonstationary Variables
• Cyclical Factors

Innovation

• Principal Component Analysis
• Stationary and Nonstationary Variables
• Common Cyclical Factors
• FRED-MD