On time-varying factor models: Estimation and testing - Su, Liangjun; Wang, Xia (Journal of econometrics, 2017)
Keywords: Change agents; Convergence; data collection; econometric models; economic analysis; Economic models; economic theory; estimation; Factor model; Information criterion; Local principal component; Local smoothing; macroeconomics; Null hypothesis; Power; Property; Structural change; Test; Time-varying parameter; United States; Validity; United States; Local principal component; C33; Factor model; C12; Information criterion; Test; C14; C38; Time-varying parameter; Local smoothing; Structural change