Estimating non-stationary common factors : Implications for risk sharing Working Papers uri icon

authors

publication date

  • 2017

series title

  • UC3M Working Papers Statistics and Econometrics

series number

  • 17-09

keywords

  • Consumption smoothing
    Long-run/Short-run estimation
    Non-stationary Dynamic Factor Models
    Kalman filter
    Principal components
    Resilience
    Risk sharing