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Time-Varying Factor Models Explained by f.shhryrpr is a document available to read on EtoBox.
This paper introduces a time-varying factor model that allows factor loadings to change smoothly over time, addressing the limitations of conventional models that assume fixed loadings. The authors propose a local principal component method for simultaneous estimation of latent factors and time-varying loadings, along with a new BIC-type information criterion for determining the number of factors. They also develop a consistent test for structural changes in factor loadings, demonstrating its application to
- Author
- f.shhryrpr
- Language
- EN