Abstract

CORREAL, MARÍA ELSA  and  PENA, DANIEL. Threshold Dynamic Factor Model. Rev.Colomb.Estad. [online]. 2008, vol.31, n.2, pp.183-192. ISSN 0120-1751.

This paper introduces a threshold dynamic factor model for the analysis of vector time series which shows non-linear behavior of threshold type. We propose an estimation procedure combining an EM algorithm with a grid search procedure by the ways of the Kalman filter and smoothing recursions. We estimate common latent threshold factors that may explain the dynamic relationships within the group of variables.

Keywords : Nonlinear time series; Factor analysis; Threshold model; EM algorithm; Kalman filter.

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