Estimating Non-stationary Common Factors: Implications for Risk Sharing
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DOI: 10.1007/s10614-018-9875-9
Abstract: In this paper, we analyze and compare the finite sample properties of alternative factor extraction procedures in the context of non-stationary Dynamic Factor Models (DFMs). On top of considering procedures already available in the literature,… read more here.
Keywords: risk sharing; factors implications; stationary common; estimating non ... See more keywords