On time-varying factor models: Estimation and testing

标题

作者

关键词

Factor model, Information criterion, Local principal component, Local smoothing, Structural change, Test, Time-varying parameter

出版物

JOURNAL OF ECONOMETRICS

Volume 198, Issue 1, Pages 84-101

出版商

Elsevier BV

发表日期

2017-02-21

DOI

10.1016/j.jeconom.2016.12.004

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