Kristensen, Dennis; Ang, Andrew - School of Economics and Management, University of Aarhus - 2009
.
Keywords: factor models; time-varying loadings; nonparametric estimation; kernel methods;
testing.
JEL Classif cation: C12, C13 … rate as T ! 1.
Our model falls into a large statistics literature on nonparametric estimation of regression models
with … kernel by nonparametric estimation. Brandt (1999) and Brandt and
A�t-Sahalia (2007) present applications of nonparametric …