ABSTRACT
This chapter discusses one possible approach to discovering and describing the time series properties of data and apply it to data sets made up of the major components of national income and expenditure, as well as monetary series, of both the UK and US. It also discusses II, III and IV, results for various principal component analyses using different transformations. The chapter advocates the use of principal components as a method of preliminary data analysis suitable for gaining an empirical understanding of economic data sets. It applies this analysis to UK and US data sets for the post-war period. The chapter focusses that the result of aggregation is, as may be expected, to offset some of the standardisation effects. Finally the illustrative result quoted using canonical correlation analysis would suggests that both long-term and cyclical variation in real sector movements may be related convincingly to corresponding movements in the monetary sector.
