A Dynamic Factor Approach to Nonlinear Stability Analysis
Working Paper No. 04-W18
Mototsugu Shintani
ABSTRACT [article]
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.