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Corrigendum to “On Time-varying Factor Models: Estimation and Testing” [J. Econometrics 198 (2017) 84-101]

Author

Listed:
  • Su, Liangjun

    (School of Economics, Singapore Management University)

  • Wang, Xia

    (Lingnan (University) College, Sun Yat-sen University)

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.

Suggested Citation

  • Su, Liangjun & Wang, Xia, 2020. "Corrigendum to “On Time-varying Factor Models: Estimation and Testing” [J. Econometrics 198 (2017) 84-101]," Economics and Statistics Working Papers 8-2020, Singapore Management University, School of Economics.
    • Handle: RePEc:ris:smuesw:2020_008
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    More about this item

    Keywords

    Approximation error; Bias; Correction; Factor Model; Time-varying;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis

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