) methods for selecting a combination of common and local factors that characterize the joint dynamics of multi-country term …, that the proposed methods do not agree with one another on the preferred combination of common and/or local factors. We …

simultaneous estimation of common factors (shared by all countries) and local factors (specific to one country) requires … development of a normalization procedure beyond that of ordinary factor analysis. By jointly estimating common and local factors … the number of common and of local factors. Using data on international yield curves of U.S., Germany, U.K. and Japan from …