Nonparametric factor analysis of time series

Juan M. Rodríguez-Poo and Oliver Bruce Linton

We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel. -- Factor Analysis ; Time Series ; Kernel estimation ; Nonparametric

Year of publication:	1998
Authors:	Rodríguez Poo, Juan Manuel ; Linton, Oliver
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Theorie \| Theory \| Statistische Methodenlehre \| Statistical theory \| Zeitreihenanalyse \| Time series analysis

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