On the Mining of Cointegrated Econometric Models
Keyword(s):
The authors describe a process of extracting a cointegrated model from a database. An important part of the process is a model generator that automatically searches for cointegrated models and orders them according to an information criterion. They build and test a non-heuristic model generator that mines for common factor models, a special kind of cointegrated models. An outlook on potential future developments is given.
Keyword(s):
Keyword(s):
2002 ◽
Vol 5
(3)
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pp. 309-321
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