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The use of factor analysis in the statistical analysis of multiple time series

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  • T. Anderson

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Suggested Citation

  • T. Anderson, 1963. "The use of factor analysis in the statistical analysis of multiple time series," Psychometrika, Springer;The Psychometric Society, vol. 28(1), pages 1-25, March.
  • Handle: RePEc:spr:psycho:v:28:y:1963:i:1:p:1-25
    DOI: 10.1007/BF02289543
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    Citations

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    Cited by:

    1. Arthur Goldberger, 1971. "Econometrics and psychometrics: A survey of communalities," Psychometrika, Springer;The Psychometric Society, vol. 36(2), pages 83-107, June.
    2. Ortega, Jose Antonio & Poncela, Pilar, 2005. "Joint forecasts of Southern European fertility rates with non-stationary dynamic factor models," International Journal of Forecasting, Elsevier, vol. 21(3), pages 539-550.
    3. Marieke Timmerman & Henk Kiers, 2003. "Four simultaneous component models for the analysis of multivariate time series from more than one subject to model intraindividual and interindividual differences," Psychometrika, Springer;The Psychometric Society, vol. 68(1), pages 105-121, March.
    4. Becker, Bettina & Hall, Stephen G., 2009. "How far from the Euro Area? Measuring convergence of inflation rates in Eastern Europe," Economic Modelling, Elsevier, vol. 26(4), pages 788-798, July.
    5. Márkus, Lászlo & Berke, Olaf & Kovács, József & Urfer, Wolfgang, 1998. "Analysis of spatial structure of latent effects governing hydrogeological phenomena," Technical Reports 1998,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    6. repec:dgr:rugsom:05f10 is not listed on IDEAS
    7. William Meredith & John Tisak, 1990. "Latent curve analysis," Psychometrika, Springer;The Psychometric Society, vol. 55(1), pages 107-122, March.
    8. Chen, Hong-Yi & Lee, Alice C. & Lee, Cheng-Few, 2015. "Alternative errors-in-variables models and their applications in finance research," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 213-227.
    9. Lam, Clifford & Yao, Qiwei & Bathia, Neil, 2011. "Estimation of latent factors for high-dimensional time series," LSE Research Online Documents on Economics 31549, London School of Economics and Political Science, LSE Library.
    10. Bettina Becker & Stephen G. Hall, 2009. "A new look at economic convergence in Europe: a common factor approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 85-97.
    11. Peter Molenaar, 1985. "A dynamic factor model for the analysis of multivariate time series," Psychometrika, Springer;The Psychometric Society, vol. 50(2), pages 181-202, June.
    12. Chou, Chih-Ping & Yang, Dongyun & Pentz, Mary Ann & Hser, Yih-Ing, 2004. "Piecewise growth curve modeling approach for longitudinal prevention study," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 213-225, June.
    13. Karl Jöreskog, 1978. "Structural analysis of covariance and correlation matrices," Psychometrika, Springer;The Psychometric Society, vol. 43(4), pages 443-477, December.
    14. Peña, Daniel & Poncela, Pilar, 1997. "Eigenstructure of nonstationary factor models," DES - Working Papers. Statistics and Econometrics. WS 6224, Universidad Carlos III de Madrid. Departamento de Estadística.
    15. Gilbert, Paul D. & Meijer, Erik, 2005. "Time Series Factor Analysis with an Application to Measuring Money," Research Report 05F10, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    16. Peter Molenaar & John Nesselroade, 2001. "Rotation in the dynamic factor modeling of multivariate stationary time series," Psychometrika, Springer;The Psychometric Society, vol. 66(1), pages 99-107, March.
    17. Lam, Clifford & Yao, Qiwei, 2012. "Factor modeling for high-dimensional time series: inference for the number of factors," LSE Research Online Documents on Economics 45684, London School of Economics and Political Science, LSE Library.

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