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

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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書目詳細資料
Main Authors:	SU, Liangjun, WANG, Xia
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2020
主題:	Approximation error Bias Correction Factor Model Time-varying Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/2364 https://ink.library.smu.edu.sg/context/soe_research/article/3363/viewcontent/JoE_correction20200226_.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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