Published February 10, 2026
| Version v1.0.0
Software
Open
Replication package for: Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models
Authors/Creators
Description
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.
Notes
If you use this replication package, please cite the following article.
Files
InsIDE-Lab-DiECO/permanent-transitory-decomposition-replication-v1.0.0.zip
Files
(345.2 kB)
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Additional details
Related works
- Is supplement to
- Software: https://github.com/InsIDE-Lab-DiECO/permanent-transitory-decomposition-replication/tree/v1.0.0 (URL)