✦ LIBER ✦

A dynamic principal components analysis based on multivariate matrix normal dynamic linear models

✍ Scribed by Manuel Salvador; Jose Luis Gallizo; Pilar Gargallo

Publisher: John Wiley and Sons
Year: 2003
Tongue: English
Weight: 196 KB
Volume: 22
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.865

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✦ Synopsis

Abstract

In this paper, we propose a multivariate dynamic linear model (MDLM) that allows us to carry out a dynamic principal components analysis in a set of multivariate time series and to analyse the similarity in their evolution once the influence of non‐stationarity in each of them has been removed. In order to illustrate the methodology, we consider the distribution of value added of the firms operating in the Spanish Transport Material Manufacturing sector. Copyright © 2003 John Wiley & Sons, Ltd.

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