Corrigendum to "On time-varying factor models: Estimation and testing" [J. Econometrics 198 (2017) 84-101]
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 asym...
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| Language: | English |
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Institutional Knowledge at Singapore Management University
2020
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |