Nonparametric factor analysis of time series

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.

MoreLess

Year of publication:	1998
Authors:	Rodríguez-Poo, Juan M. ; Linton, Oliver Bruce
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	Factor Analysis \| Time Series \| Kernel estimation \| Nonparametric

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	SFB 373 Discussion Paper ; 1998,70
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	721988024 [GVK] hdl:10419/61293 [Handle] RePEc:zbw:sfb373:199870 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010309905