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Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model

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Author Info
Sentana, E.
Fiorentini, G.

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Abstract

We investigate several important inference issues for factor models with dynamic heteroskedasticity in the common factors. First, we show that such models are identified if we take into account the time-variation in the variances of the factors. Our results also apply to dynamic versions of the APT, dynamic factor models, and vector autoregressions. Secondly, we propose a consistent two-step estimation procedure which does not rely on knowledge of any factor estimates, and explain how to compute correct standard errors.

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Publisher Info
Paper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number 9709.

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Length: 41 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:cemfdt:9709

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Related research
Keywords: HETEROSKEDASTICITY ; MODELS ; TESTS;

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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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This page was last updated on 2009-11-20.

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