On Time-Varying Factor Models: Estimation and Testing

On Time-Varying Factor Models: Estimation and Testing

Conventional factor models assume that factor loadings are fixed over a long horizon of time, which appears overly restrictive and unrealistic in applications. In this paper, we introduce a time-varying factor model where factor loadings are allowed to change smoothly over time. We propose a local v...

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Bibliographic Details
Main Authors: SU, Liangjun, WANG, Xia
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Factor model
Information criterion
Local principal component
Local smoothing
Structural change
Test
Time-varying parameter
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1742
https://ink.library.smu.edu.sg/context/soe_research/article/2741/viewcontent/SuLJ_OnTimeVaryingFactorModels_08_2015.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1742
https://ink.library.smu.edu.sg/context/soe_research/article/2741/viewcontent/SuLJ_OnTimeVaryingFactorModels_08_2015.pdf

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