authors
- CORONA VILLAVICENCIO, FRANCISCO DE JESUS
- PONCELA BLANCO, MARIA PILAR
- RUIZ ORTEGA, ESTHER
Estimating non-stationary common factors : Implications for risk sharing
Working Papers
Overview
publication date
- 2017
series title
- UC3M Working Papers Statistics and Econometrics
full text
series number
- 17-09
Classification
keywords
- consumption smoothing; long-run/short-run estimation; non-stationary dynamic factor models; kalman filter; principal components; resilience; risk sharing