A Dynamic Factor Approach to Nonlinear Stability Analysis

Mototsugu Shintani

No 538, Econometric Society 2004 Far Eastern Meetings from Econometric Society

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: 2004-08-11
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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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