On time-varying factor models: Estimation and testing

Published 2017 View Full Article

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Title
On time-varying factor models: Estimation and testing
Authors
Keywords
Factor model, Information criterion, Local principal component, Local smoothing, Structural change, Test, Time-varying parameter
Journal
JOURNAL OF ECONOMETRICS
Volume 198, Issue 1, Pages 84-101
Publisher
Elsevier BV
Online
2017-02-21
DOI
10.1016/j.jeconom.2016.12.004

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