SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES
研究如何在动态因子模型中用三次样条对因子载荷施加平滑约束，基于美国利率数据检验发现平滑约束能提升预测准确性。
SUMMARY We consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures based on Wald, Lagrange multiplier and likelihood ratio tests for this purpose. The methodology is illustrated by analyzing a newly updated monthly time series panel of US term structure of interest rates. Dynamic factor models with and without smooth loadings are compared with dynamic models based on Nelson–Siegel and cubic spline yield curves. We conclude that smoothness restrictions on factor loadings are supported by the interest rate data and can lead to more accurate forecasts. Copyright © 2013 John Wiley & Sons, Ltd.