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

Liangjun Su () and Xia Wang ()
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Xia Wang: Lingnan (University) College, Sun Yat-sen University

No 8-2020, Economics and Statistics Working Papers from Singapore Management University, School of Economics

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 (search for similar items in EconPapers)
JEL-codes: C12 C14 C33 C38 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2020-02-27
New Economics Papers: this item is included in nep-ecm, nep-ore and nep-sea
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