On time-varying factor models: estimation and testing (Q2294514)
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scientific article; zbMATH DE number 7165969
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| English | On time-varying factor models: estimation and testing |
scientific article; zbMATH DE number 7165969 |
Statements
On time-varying factor models: estimation and testing (English)
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11 February 2020
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factor model
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information criterion
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local principal component
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local smoothing
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structural change
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test
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time-varying parameter
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0.8836687803268433
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0.8767991662025452
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0.8585767149925232
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0.8495582938194275
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0.8447763919830322
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