Nonparametric factor analysis of residual time series

• Autores: Oliver Linton, Juan M. Rodríguez-Poo
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 10, Nº. 1, 2001, págs. 161-182
• Idioma: inglés
• DOI: 10.1007/bf02595830
• Texto completo no disponible (Saber más ...)
• Resumen

  • We introduce a nonparametric smoothing procedure for nonparametric factor analysis of multivariate time series. Our main objective is to develop an adaptive method for estimating a time-varying covariance matrix. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel of the U.S. economy. We find substantial evidence of time varying second moments and breaks in the contemporaneous correlation structure during the mid 1970's to the early 1980's