Bates, Brandon J.; Plagborg-Møller, Mikkel; Stock, James H. - In: Journal of Econometrics 177 (2013) 2, pp. 289-304
This paper considers the estimation of approximate dynamic factor models when there is temporal instability in the factor loadings. We characterize the type and magnitude of instabilities under which the principal components estimator of the factors is consistent and find that these...