Corrigendum to "On time-varying factor models: Estimation and testing" [J. Econometrics 198 (2017) 84-101]

Author

Liangjun SU, Singapore Management UniversityFollow
Xia WANG

Publication Type

Working Paper

Version

publishedVersion

Publication Date

2-2020

Abstract

We note that Su and Wang (2017, On Time-varying Factor Models: Estimation and Testing, Journal of Econometrics 198, 84-101) ignore the bias terms when estimating the time-varying factor models. In this note, we correct the theoretical results on the estimation of time-varying factor models. The asymptotic results for testing the correct specification of time invariant factor loadings are not affected.

Keywords

Approximation error, Bias, Correction, Factor Model, Time-varying

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

29

Publisher

SMU Economics and Statistics Working Paper Series, Paper No. 08-2020

Citation

SU, Liangjun and WANG, Xia. Corrigendum to "On time-varying factor models: Estimation and testing" [J. Econometrics 198 (2017) 84-101]. (2020). 1-29.
Available at: https://ink.library.smu.edu.sg/soe_research/2364

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.