Corrigendum to "On time-varying factor models: Estimation and testing" [J. Econometrics 198 (2017) 84-101]

• Main Authors: SU, Liangjun, WANG, Xia
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Approximation error; Bias; Correction; Factor Model; Time-varying; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2364; https://ink.library.smu.edu.sg/context/soe_research/article/3363/viewcontent/JoE_correction20200226_.pdf
• Institution: Singapore Management University

We note that Su and Wang (2017, On Time-varying Factor Models: Estimation and Testing, Journal of Econometrics 198, 84-101) ignore the bias terms when estimating the time-varying factor models. In this note, we correct the theoretical results on the estimation of time-varying factor models. The asymptotic results for testing the correct specification of time invariant factor loadings are not affected.