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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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 70, SFB 373 Papers, ISSN:1436-1086
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