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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\u2013Siegel 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 \u00a9 2013 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2319","type":"journal-article","created":{"date-parts":[[2013,6,3]],"date-time":"2013-06-03T07:46:16Z","timestamp":1370245576000},"page":"65-90","source":"Crossref","is-referenced-by-count":33,"title":["SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES"],"prefix":"10.1002","volume":"29","author":[{"given":"Borus","family":"Jungbacker","sequence":"first","affiliation":[{"name":"Department of Econometrics VU University Amsterdam  Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Siem Jan","family":"Koopman","sequence":"additional","affiliation":[{"name":"Department of Econometrics VU University Amsterdam  Netherlands"},{"name":"Tinbergen Institute  Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Michel","family":"van der Wel","sequence":"additional","affiliation":[{"name":"Tinbergen Institute  Netherlands"},{"name":"Erasmus School of Economics ERIM Rotterdam and CREATES  Aarhus Denmark"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2013,6,3]]},"reference":[{"key":"e_1_2_7_2_1","unstructured":"AlmeidaC SimonsenA VicenteJ.2011.Forecasting bond yields with segmented term structure models. 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