A Dynamic Factor Approach to Nonlinear Stability Analysis

Mototsugu Shintani

No 418, Vanderbilt University Department of Economics Working Papers from Vanderbilt University Department of Economics

Abstract: A method of principal components is employed to investigate nonlinear dynamic factor structure using a large panel data. The evidence suggests the possibility of nonlinearity in the U.S. while it excludes the class of nonlinearity that can generate endogenous fluctuation or chaos.

Keywords: Chaos; Dynamic Factor Model; Lyapunov Exponents; Nonparametric Regression; Principal Components (search for similar items in EconPapers)
JEL-codes: C14 C33 (search for similar items in EconPapers)
Date: 2004-08
New Economics Papers: this item is included in nep-ecm
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http://www.accessecon.com/pubs/VUECON/vu04-w18.pdf First version, 2004 (application/pdf)

Related works:
Journal Article: A dynamic factor approach to nonlinear stability analysis (2008)
Working Paper: A Dynamic Factor Approach to Nonlinear Stability Analysis (2004)
Working Paper: A Dynamic Factor Approach to Nonlinear Stability Analysis (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:van:wpaper:0418

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