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A Dynamic Factor Approach to Nonlinear Stability Analysis

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  • Mototsugu Shintani

    ()
    (Department of Economics, Vanderbilt University)

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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File URL: http://www.accessecon.com/pubs/VUECON/vu04-w18.pdf
File Function: First version, 2004
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Bibliographic Info

Paper provided by Vanderbilt University Department of Economics in its series Vanderbilt University Department of Economics Working Papers with number 0418.

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Date of creation: Aug 2004
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Handle: RePEc:van:wpaper:0418

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Web page: http://www.vanderbilt.edu/econ/wparchive/index.html

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Keywords: Chaos; Dynamic Factor Model; Lyapunov Exponents; Nonparametric Regression; Principal Components;

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  1. Mototsugu Shintani & Oliver Linton, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics 0309, Vanderbilt University Department of Economics.
  2. Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers, Harvard - J.F. Kennedy School of Government 178d, Harvard - J.F. Kennedy School of Government.
  3. Mototsugu Shintani & Oliver Linton, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics 0111, Vanderbilt University Department of Economics.
  4. Mototsugu Shintani, 2010. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Levine's Working Paper Archive 506439000000000168, David K. Levine.
  5. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  6. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(2), pages 147-62, April.
  7. Abhyankar, A & Copeland, L S & Wong, W, 1997. "Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 15(1), pages 1-14, January.
  8. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers, Federal Reserve Bank of Minneapolis 55, Federal Reserve Bank of Minneapolis.
  9. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, Econometric Society, vol. 71(1), pages 135-171, January.
  10. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  11. Whang, Yoon-Jae & Linton, Oliver, 1999. "The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series," Journal of Econometrics, Elsevier, Elsevier, vol. 91(1), pages 1-42, July.
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  13. Bask Mikael & de Luna Xavier, 2002. "Characterizing the Degree of Stability of Non-linear Dynamic Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 6(1), pages 1-19, April.
  14. Day, Richard H, 1982. "Irregular Growth Cycles," American Economic Review, American Economic Association, American Economic Association, vol. 72(3), pages 406-14, June.
  15. Serletis, Apostolos, 1995. "Random Walks, Breaking Trend Functions, and the Chaotic Structure of the Velocity of Money," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(4), pages 453-58, October.
  16. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, Elsevier, vol. 56(3), pages 269-290, April.
  17. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 871-907, July.
  18. Dechert, W D & Gencay, R, 1992. "Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(S), pages S41-60, Suppl. De.
  19. repec:cup:etheor:v:11:y:1995:i:3:p:560-96 is not listed on IDEAS
  20. Fan, Yanqin & Li, Qi, 1997. "A consistent nonparametric test for linearity of AR(p) models," Economics Letters, Elsevier, Elsevier, vol. 55(1), pages 53-59, August.
  21. Lee Tae-Hwy, 2001. "Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 4(4), pages 1-15, January.
  22. Barnett, William A. & Ronald Gallant, A. & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1995. "Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 27(2), pages 301-320, July.
  23. Chauvet, Marcelle, 1998. "An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 969-96, November.
  24. Andrews, Donald W.K., 1995. "Nonparametric Kernel Estimation for Semiparametric Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 11(03), pages 560-586, June.
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