A Dynamic Factor Approach to Nonlinear Stability Analysis
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Vanderbilt University. Dept. of Economics
Abstract
A method of principal components is employed to investigate nonlinear dynamic factor structure using a large panel data. The evidence suggests the possibility of nonlinearity in the U.S. while it excludes the class of nonlinearity that can generate endogenous fluctuation or chaos.
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Mototsugu, Shintani. "A Dynamic Factor Approach to Nonlinear Stability Analysis." Working Paper No. 04-W18. Dept. of Economics, Vanderbilt University. Nashville, TN, Aug. 2004.