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Consistent estimation of time-varying loadings in high-dimensional factor models

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2014

Classical Time Varying Factor-Augmented Vector Auto-Regressive Models—Estimation, Forecasting and Structural Analysis

68 cited

2011International Transmission of Shocks: A Time-Varying Factor-Augmented VAR Approach to the Open Economy34 cited

Cited by

2023Estimation and Inference on Time-Varying FAVAR Models9 cited