Consistent factor estimation in dynamic factor models with structural instability

Journal of Econometrics

Volumn 177, Issue 2, 2013, Pages 289-304

  Bates, Brandon J ^a   Plagborg Møller, Mikkel ^b   Stock, James H ^b   Watson, Mark W ^c  

^a BlackRock Inc   (United States)

^b HARVARD UNIVERSITY   (United States)

^c PRINCETON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

STABILITY;

DIFFUSION INDICES; DYNAMIC FACTOR MODELS; NUMBER OF FACTORS; PARAMETER INSTABILITY; PRINCIPAL COMPONENTS; STRUCTURAL INSTABILITY; TEMPORAL INSTABILITY; THEORETICAL CALCULATIONS;

ESTIMATION;

EID: 84886717373     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.04.014     Document Type: Article

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