Consistent factor estimation in dynamic factor models with structural instability

Keyphrases

• Structural Instability 100%
• Number of Factors 100%
• Dynamic Factor Model 100%
• Factor Estimation 100%
• Factor Loadings 100%
• Regression-based Method 50%
• Approximate Dynamic Factor Model 50%
• Temporal Instability 50%
• Parameter Instability 50%
• Principal Components Regression Estimator 50%
• Diffusion Index 50%
• Index Forecasting 50%
• Factor Space 50%

Economics, Econometrics and Finance

• Factor Model 100%
• Principal Components 50%