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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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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
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