Replication package for: Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models

Zenodo (CERN European Organization for Nuclear Research) 2026 Open access

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Authors: Chiara Casoli, Riccardo Lucchetti
DOI: 10.5281/zenodo.18592831
Cited by: 0

Abstract

This is the first official release of the replication package for: Casoli & Lucchetti (2022), "Permanent‑Transitory decomposition of cointegrated time series via Dynamic Factor Models", The Econometrics Journal, 25(2), 494–514. This release includes all data and code necessary to replicate tables and figures from the article.

Fields of Study & Subjects

Monetary Policy and Economic Impact Statistical Methods and Applications Statistical and numerical algorithms

Publication details

Journal / source
Zenodo (CERN European Organization for Nuclear Research)
Publication date
10 February 2026
Language
EN