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A Dynamic Factor Approach to Nonlinear Stability Analysis
Vanderbilt University Department of Economics Working Papers from Vanderbilt University Department of Economics
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)
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Downloads: (external link) 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) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:van:wpaper:0418
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