{
  "abstract": "This paper develops a procedure for uncovering the common cyclical factors that drive a mix of stationary and nonstationary variables. The method does not require knowing which variables are nonstationary or the nature of the nonstationarity. An application to the FREDMD macroeconomic dataset demonstrates that the approach offers similar benefits to those of traditional principal component analysis with some added advantages.",
  "abstract_shown": true,
  "affiliations": [
    "University of California at San Diego, United States",
    "Center for Forecasting Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, China"
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  "article_type": null,
  "arxiv": null,
  "author_total": 3,
  "authors": [
    {
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        0
      ],
      "name": "James D. Hamilton",
      "orcid": "0000-0001-5041-1279"
    },
    {
      "affs": [
        0
      ],
      "name": "Xinwei Ma",
      "orcid": "0000-0001-8827-9146"
    },
    {
      "affs": [
        1
      ],
      "name": "Jin Xi"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/05p93238rkt8y.bib",
  "cited_by": 8,
  "doi": "10.1016/j.jeconom.2026.106317",
  "fulltext_url": null,
  "id": "05p93238rkt8y",
  "issns": [
    "0304-4076",
    "1872-6895"
  ],
  "landing_url": "https://doi.org/10.1016/j.jeconom.2026.106317",
  "language": "en",
  "licence": "CC-BY",
  "licence_label": "CC BY",
  "licence_source": "journal",
  "licence_url": "https://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": null,
  "native_subjects": [
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      "openalex",
      "2613|Statistical Methods and Applications"
    ]
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  "openalex": "W7113226309",
  "pdf_url": "https://www.sciencedirect.com/science/article/pii/S0304407626001375/pdf",
  "pmcid": null,
  "pmid": null,
  "published": "2026-09-04",
  "publisher": "Elsevier BV",
  "ris": "https://research.draconitic.com/paper/05p93238rkt8y.ris",
  "sources": [
    {
      "first_seen": "2026-11-05T13:20:40Z",
      "native_id": "W7113226309",
      "source": "openalex",
      "url": "https://doi.org/10.1016/j.jeconom.2026.106317"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "openalex:2613|Statistical Methods and Applications",
      "subfield": "statistics"
    }
  ],
  "title": "Principal component analysis for a mix of stationary and nonstationary variables",
  "title_text": "Principal component analysis for a mix of stationary and nonstationary variables",
  "type": "peer-reviewed",
  "updated_at": "2026-11-06T13:20:21Z",
  "url": "https://research.draconitic.com/paper/05p93238rkt8y",
  "venue": "Journal of Econometrics",
  "versions": []
}