LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION

DOI10.1017/S0266466611000053zbMath1228.62073MaRDI QIDQ3108568

Giovanni Motta, Rainer von Sachs, Christian M. Hafner

Publication date: 4 January 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (14)

Wavelet estimation for factor models with time-varying loadings ⋮ Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series ⋮ Time-varying general dynamic factor models and the measurement of financial connectedness ⋮ Identification of Time-Varying Factor Models ⋮ Factor models in high-dimensional time series: A time-domain approach ⋮ Towards a general theory for nonlinear locally stationary processes ⋮ Evolutionary Factor Analysis of Replicated Time Series ⋮ Nonparametric estimation of large covariance matrices with conditional sparsity ⋮ Fitting dynamic factor models to non-stationary time series ⋮ Boosting high dimensional predictive regressions with time varying parameters ⋮ On time-varying factor models: estimation and testing ⋮ TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION ⋮ Time varying factor models with possibly strongly correlated noises ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

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• Linear Regression Limit Theory for Nonstationary Panel Data
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• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model
• Nonparametric factor analysis of residual time series

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