Wavelet estimation for factor models with time-varying loadings
نویسندگان
چکیده
We introduce a high-dimensional factor model with time-varying loadings. cover both stationary and nonstationary factors to increase the possibilities of applications. propose an estimation procedure based on two stages. First, we estimate common by principal components. In second step, considering estimated as observed, loadings are iterative generalized least squares using wavelet functions. investigate finite sample features some Monte Carlo simulations. Finally, apply study Nord Pool power market’s electricity prices loads.
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ژورنال
عنوان ژورنال: International Journal of Wavelets, Multiresolution and Information Processing
سال: 2021
ISSN: ['0219-6913', '1793-690X']
DOI: https://doi.org/10.1142/s0219691321500338