Fit a DFM to the EUUS (CPI) price indexes in file CPIEurope2000-15.CSv. Apply the transformation (abla abla_{12}

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Fit a DFM to the EUUS (CPI) price indexes in file CPIEurope2000-15.CSv. Apply the transformation $abla abla_{12} \log z_{t}$ and the command dfmpc to fit the model. Analyze the properties of the three factors found and the models for the residuals.

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Statistical Learning For Big Dependent Data

ISBN: 9781119417385

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Authors: Daniel Peña, Ruey S. Tsay

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Question Posted: May 05, 2024 06:00 AM

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Fit a DFM to the EUUS (CPI) price indexes in file CPIEurope2000-15.CSv. Apply the transformation (abla abla_{12}

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Statistical Learning For Big Dependent Data

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