Before revision: In this paper , we propose a new procedure to build a structural-factor model for a vector unit-root time series . For a p-dimensional unit-root process , we assume that each component consists of a set of common factors, which may be unit-root non-stationary, and a set of stationary components, which contain the cointegrations among the unit-root processes.
After revision: In this paper , we propose a new procedure to build a structural-factor model for a vector unit-root time series by postulating that a p-dimensional unit-root process , we assume that each component consists of a set of common factors, which may be unit-root non-stationary, and a set of stationary components, which contain the cointegrations among the unit-root processes.