Consistent estimation of time-varying loadings in high-dimensional factor models
Jakob Guldbæk Mikkelsen, Eric Hillebrand, Giovanni Urga
| Year of publication: |
2019
|
|---|---|
| Authors: | Mikkelsen, Jakob Guldbæk ; Hillebrand, Eric ; Urga, Giovanni |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 2, p. 535-562
|
| Subject: | Factor models | Time-varying loadings | Consistent estimation | Maximum likelihood estimation | Two-step estimation | Principal components | Schätztheorie | Estimation theory | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Maximum-Likelihood-Schätzung |
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