期刊
JOURNAL OF ECONOMETRICS
卷 177, 期 2, 页码 289-304出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2013.04.014
关键词
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This paper considers the estimation of approximate dynamic factor models when there is temporal instability in the factor loadings. We characterize the type and magnitude of instabilities under which the principal components estimator of the factors is consistent and find that these instabilities can be larger than earlier theoretical calculations suggest. We also discuss implications of our results for the robustness of regressions based on the estimated factors and of estimates of the number of factors in the presence of parameter instability. Simulations calibrated to an empirical application indicate that instability in the factor loadings has a limited impact on estimation of the factor space and diffusion index forecasting, whereas estimation of the number of factors is more substantially affected. (C) 2013 Elsevier B.V. All rights reserved.
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