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