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A dynamic factor approach to nonlinear stability analysis

  • Shintani, Mototsugu

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.sciencedirect.com/science/article/pii/S0165-1889(07)00232-1
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 32 (2008)
Issue (Month): 9 (September)
Pages: 2788-2808

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Handle: RePEc:eee:dyncon:v:32:y:2008:i:9:p:2788-2808
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. 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, vol. 15(1), pages 1-14, January.
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  4. Shintani, Mototsugu, 2005. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 517-38, June.
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  15. Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 58170, London School of Economics and Political Science, LSE Library.
  16. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
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  24. Oliver Linton & Mototsugu Shintani, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," FMG Discussion Papers dp383, Financial Markets Group.
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  28. repec:cup:etheor:v:11:y:1995:i:3:p:560-96 is not listed on IDEAS
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