Locally stationary factor models: identification and nonparametric estimation

DOI10.1017/S0266466611000053MaRDI QIDQ3108568zbMATH OpenFDO

Authors Giovanni Motta, Christian M. Hafner, Rainer von Sachs

Publication date 4 January 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466611000053

Mathematics Subject Classification ID

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

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Cites work

• A Flexible and Fast Method for Automatic Smoothing
• A likelihood approximation for locally stationary processes
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• Determining the Number of Factors in Approximate Factor Models
• Fitting time series models to nonstationary processes
• Forecasting Using Principal Components From a Large Number of Predictors
• scientific article; zbMATH DE number 951459 (Why is no real title available?)
• Inferential Theory for Factor Models of Large Dimensions
• Linear Regression Limit Theory for Nonstationary Panel Data
• Locally Adaptive Bandwidth Choice for Kernel Regression Estimators
• Nonparametric factor analysis of residual time series
• Smoothness and periodicity of some matrix decompositions
• Statistical inference for time-varying ARCH processes
• The Generalized Dynamic Factor Model

Cited in

(26)

• Consistent estimation of time-varying loadings in high-dimensional factor models
• Towards a general theory for nonlinear locally stationary processes
• Indirect inference for locally stationary models
• Nonparametric estimation of large covariance matrices with conditional sparsity
• Boosting high dimensional predictive regressions with time varying parameters
• On time-varying factor models: estimation and testing
• Factor models in high-dimensional time series: A time-domain approach
• Time-varying general dynamic factor models and the measurement of financial connectedness
• Evolutionary factor analysis of replicated time series
• Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
• Wavelet estimation for factor models with time-varying loadings
• Factor and Idiosyncratic Empirical Processes
• 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
• Nonparametric factor analysis of residual time series
• Identification of Time-Varying Factor Models
• Estimation and Inference on Time-Varying FAVAR Models
• Inference for time-varying factor models under local stationarity
• Distinguishing Time-Varying Factor Models
• Estimating time-varying networks for high-dimensional time series
• Modelling large dimensional datasets with Markov switching factor models
• Evolutionary correspondence analysis of the semantic dynamics of frames
• Covariance matrix estimation in time-varying factor models
• Latent factor models with functional single-index loadings
• Fitting dynamic factor models to non-stationary time series

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