{"id":"https://openalex.org/W1984402487","doi":"https://doi.org/10.1080/03610910701723997","title":"Cointegration Detection Using Dynamic Factor Models","display_name":"Cointegration Detection Using Dynamic Factor Models","publication_year":2007,"publication_date":"2007-12-31","ids":{"openalex":"https://openalex.org/W1984402487","doi":"https://doi.org/10.1080/03610910701723997","mag":"1984402487"},"language":"en","primary_location":{"id":"doi:10.1080/03610910701723997","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910701723997","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5074193454","display_name":"Kosei Fukuda","orcid":"https://orcid.org/0000-0002-4557-7976"},"institutions":[{"id":"https://openalex.org/I104946051","display_name":"Nihon University","ror":"https://ror.org/05jk51a88","country_code":"JP","type":"education","lineage":["https://openalex.org/I104946051"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Kosei Fukuda","raw_affiliation_strings":["Nihon University","College of Economics, Nihon University , Tokyo , Japan"],"affiliations":[{"raw_affiliation_string":"Nihon University","institution_ids":["https://openalex.org/I104946051"]},{"raw_affiliation_string":"College of Economics, Nihon University , Tokyo , Japan","institution_ids":["https://openalex.org/I104946051"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5074193454"],"corresponding_institution_ids":["https://openalex.org/I104946051"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.20357757,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"37","issue":"1","first_page":"143","last_page":"153"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9923999905586243,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9923999905586243,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9821000099182129,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9467999935150146,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cointegration","display_name":"Cointegration","score":0.8859490156173706},{"id":"https://openalex.org/keywords/dynamic-factor","display_name":"Dynamic factor","score":0.7812139391899109},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.7811780571937561},{"id":"https://openalex.org/keywords/rank","display_name":"Rank (graph theory)","score":0.685189425945282},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.637089192867279},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6215830445289612},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.5543510317802429},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.54152911901474},{"id":"https://openalex.org/keywords/basis","display_name":"Basis (linear algebra)","score":0.4953833818435669},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4765092432498932},{"id":"https://openalex.org/keywords/information-criteria","display_name":"Information Criteria","score":0.41986745595932007},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3397405743598938},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.33135679364204407},{"id":"https://openalex.org/keywords/model-selection","display_name":"Model selection","score":0.06610512733459473}],"concepts":[{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.8859490156173706},{"id":"https://openalex.org/C155702961","wikidata":"https://www.wikidata.org/wiki/Q5318975","display_name":"Dynamic factor","level":2,"score":0.7812139391899109},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.7811780571937561},{"id":"https://openalex.org/C164226766","wikidata":"https://www.wikidata.org/wiki/Q7293202","display_name":"Rank (graph theory)","level":2,"score":0.685189425945282},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.637089192867279},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6215830445289612},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.5543510317802429},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.54152911901474},{"id":"https://openalex.org/C12426560","wikidata":"https://www.wikidata.org/wiki/Q189569","display_name":"Basis (linear algebra)","level":2,"score":0.4953833818435669},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4765092432498932},{"id":"https://openalex.org/C2776709221","wikidata":"https://www.wikidata.org/wiki/Q6031040","display_name":"Information Criteria","level":3,"score":0.41986745595932007},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3397405743598938},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33135679364204407},{"id":"https://openalex.org/C93959086","wikidata":"https://www.wikidata.org/wiki/Q6888345","display_name":"Model selection","level":2,"score":0.06610512733459473},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/03610910701723997","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910701723997","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":28,"referenced_works":["https://openalex.org/W1534100182","https://openalex.org/W1558252355","https://openalex.org/W1963599873","https://openalex.org/W1985118187","https://openalex.org/W1985321571","https://openalex.org/W1989440742","https://openalex.org/W1994110039","https://openalex.org/W1999323351","https://openalex.org/W2016087196","https://openalex.org/W2034707435","https://openalex.org/W2048919143","https://openalex.org/W2057346721","https://openalex.org/W2074158860","https://openalex.org/W2086057988","https://openalex.org/W2109131655","https://openalex.org/W2131733003","https://openalex.org/W2142635246","https://openalex.org/W2153562738","https://openalex.org/W2164175720","https://openalex.org/W2168175751","https://openalex.org/W2571446175","https://openalex.org/W2796569408","https://openalex.org/W3124750780","https://openalex.org/W3142726814","https://openalex.org/W4230206799","https://openalex.org/W4230939740","https://openalex.org/W4249160806","https://openalex.org/W4302199816"],"related_works":["https://openalex.org/W1686069590","https://openalex.org/W2144626313","https://openalex.org/W3125791460","https://openalex.org/W2012215390","https://openalex.org/W4249876970","https://openalex.org/W109067688","https://openalex.org/W4236972288","https://openalex.org/W1578405420","https://openalex.org/W2114680408","https://openalex.org/W2165779214"],"abstract_inverted_index":{"A":[0],"method":[1,26,98],"of":[2,14,47,70,77,89,95],"information-criterion-based":[3],"cointegration":[4,82],"detection":[5],"using":[6],"dynamic":[7],"factor":[8],"models":[9,64],"is":[10,27,43,59,84],"proposed.":[11],"The":[12],"results":[13],"the":[15,35,56,68,75,81,87,90,96],"data-based":[16,19],"and":[17],"non":[18],"Monte":[20],"Carlo":[21],"simulations":[22],"suggest":[23],"that":[24],"this":[25],"as":[28,30],"effective":[29],"conventional":[31],"hypothesis-testing":[32],"methods.":[33],"In":[34],"proposed":[36,97],"method,":[37],"an":[38],"observed":[39],"multivariate":[40],"time":[41],"series":[42],"described":[44],"in":[45],"terms":[46],"common":[48,71],"stochastic":[49,72],"trends":[50],"plus":[51],"stationary":[52],"autoregressive":[53],"cycles.":[54],"Then":[55],"best":[57],"model":[58],"selected":[60,91],"from":[61],"among":[62],"alternative":[63],"obtained":[65],"by":[66],"changing":[67],"number":[69],"trends,":[73],"on":[74,86],"basis":[76,88],"information":[78],"criteria.":[79],"Consequently,":[80],"rank":[83],"determined":[85],"model.":[92],"Two":[93],"advantages":[94],"are":[99],"also":[100],"discussed.":[101]},"counts_by_year":[],"updated_date":"2026-02-08T09:19:03.324500","created_date":"2025-10-10T00:00:00"}