Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61293
Authors: 
Rodríguez-Poo, Juan M.
Linton, Oliver Bruce
Year of Publication: 
1998
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,70
Abstract: 
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.
Subjects: 
Factor Analysis
Time Series
Kernel estimation
Nonparametric
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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