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

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.

If you use this replication package, please cite the following article.

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	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	0
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	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
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