Department of Economics and Business Economics

Consistent estimation of time-varying loadings in high-dimensional factor models

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Jakob Guldbæk Mikkelsen, Danmarks Nationalbank
  • ,
  • Eric Hillebrand
  • Giovanni Urga, Cass Business School, Bergamo University
Original languageEnglish
JournalJournal of Econometrics
Volume208
Issue2
Pages (from-to)535-562
ISSN0304-4076
DOIs
Publication statusPublished - 2019

    Research areas

  • Consistent estimation, Factor models, Maximum likelihood estimation, Principal components, Time-varying loadings, Two-step estimation

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