Common Feature Analysis of Economic Time Series: An Overview and Recent Developments
Centoni MarcoCubadda Gianluca
CEIS Research Paper
In this paper we overview the literature on common features analysis of economic time series. Starting from the seminal contributions by Engle and Kozicki (1993) and Vahid and Engle (1993), we present and discuss the various notions that have been proposed to detect and model common cyclical features in macroeconometrics. In particular, we analyze in details the link between common cyclical features and the reduced-rank regression model. We also illustrate similarities and differences between the common features methodology and other popular types of multivariate time series modelling. Finally, we discuss some recent developments in this area, such as the implications of common features for univariate time series models and the analysis of common autocorrelation in medium-large dimensional systems.
Keywords: Common features; common cycles; reduced-rank regression; canonical correlation analysis; vector autoregressive models; dynamic factor models; business cycles.
JEL codes: C32
Date: Wednesday, October 7, 2015
Revision Date: Wednesday, October 7, 2015