Consistent estimation of time-varying loadings in high-dimensional factor models

DOI10.1016/j.jeconom.2018.09.020zbMath1452.62415OpenAlexW2899444094WikidataQ128937024 ScholiaQ128937024MaRDI QIDQ1739877

Jakob Guldbæk Mikkelsen, Eric Hillebrand, Giovanni Urga

Publication date: 29 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/20524/1/MHU_September%202018.pdf

zbMATH Keywords

maximum likelihood estimationprincipal componentsfactor modelstwo-step estimationconsistent estimationtime-varying loadings

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Wavelet estimation for factor models with time-varying loadings, Specification tests for time-varying coefficient models, Identification of Time-Varying Factor Models, Testing for structural changes in large dimensional factor models via discrete Fourier transform, The likelihood ratio test for structural changes in factor models, TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION

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