Dynamic factor analysis of nonstationary multivariate time series

Peter C.M. Molenaar, Jan G. De Gooijer, Bernhard Schmitz

Research output: Contribution to journalArticlepeer-review

65 Scopus citations

Abstract

A dynamic factor model is proposed for the analysis of multivariate nonstationary time series in the time domain. The nonstationarity in the series is represented by a linear time dependent mean function. This mild form of nonstationarity is often relevant in analyzing socio-economic time series met in practice. Through the use of an extended version of Molenaar's stationary dynamic factor analysis method, the effect of nonstationarity on the latent factor series is incorporated in the dynamic nonstationary factor model (DNFM). It is shown that the estimation of the unknown parameters in this model can be easily carried out by reformulating the DNFM as a covariance structure model and adopting the ML algorithm proposed by Jöreskog. Furthermore, an empirical example is given to demonstrate the usefulness of the proposed DNFM and the analysis.

Original languageEnglish (US)
Pages (from-to)333-349
Number of pages17
JournalPsychometrika
Volume57
Issue number3
DOIs
StatePublished - Sep 1 1992

All Science Journal Classification (ASJC) codes

  • Psychology(all)
  • Applied Mathematics

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