A dynamic factor approach to nonlinear stability analysis

DOI10.1016/J.JEDC.2007.10.006MaRDI QIDQ844759zbMATH OpenOpenAlexFDO

Authors Mototsugu Shintani

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1803/31

zbMATH Keywords

principal componentsnonparametric regressionchaosdynamic factor modelLyapunov exponents

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Statistical methods; economic indices and measures (91B82) Economic dynamics (91B55)

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Cited in

(3)

• Improving the finite sample performance of autoregression estimators in dynamic factor models: a bootstrap approach
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• Evaluating changes in group stability for large-scale industrial systems in a crisis situation

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