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.

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Year of publication:	1998
Authors:	Rodríguez-Poo, Juan M. ; Linton, Oliver Bruce
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	Factor Analysis \| Time Series \| Kernel estimation \| Nonparametric

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1998,70
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010983474