Zhonghao Fu
Biographic Data
| ID | 8920147 |
|---|---|
| NAME | Zhonghao Fu |
| GIVEN NAMES | Zhonghao |
| FAMILY NAME | Fu |
| SIGNATURE | FU Z |
| AFFILIATIONS | Fudan University |
| VERIFIED | No |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2024 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
Distinguishing Time-Varying Factor Models
Time-varying factor models have been widely used to model changing relationships among economic and financial variables. The existing literature usually specifies the time-varying factor loadings as deterministic functions of time or unit root processes. This article proposes two consistent tests to distinguish between these two specifications based on a randomization approach. By setting the null hypothesis as either specification, we show that …
Estimation and Inference on Time-Varying Favar Models
We introduce a time-varying (TV) factor-augmented vector autoregressive (FAVAR) model to capture the TV behavior in the factor loadings and the VAR coefficients. To consistently estimate the TV parameters, we first obtain the unobserved common factors via the local principal component analysis (PCA) and then estimate the TV-FAVAR model via a local smoothing approach. The limiting distribution of the proposed estimators is established. To gauge po…
No prominent works on this page.
Estimation and Inference on Time-Varying Favar Models
We introduce a time-varying (TV) factor-augmented vector autoregressive (FAVAR) model to capture the TV behavior in the factor loadings and the VAR coefficients. To consistently estimate the TV parameters, we first obtain the unobserved common factors via the local principal component analysis (PCA) and then estimate the TV-FAVAR model via a local smoothing approach. The limiting distribution of the proposed estimators is established. To gauge po…
Distinguishing Time-Varying Factor Models
Time-varying factor models have been widely used to model changing relationships among economic and financial variables. The existing literature usually specifies the time-varying factor loadings as deterministic functions of time or unit root processes. This article proposes two consistent tests to distinguish between these two specifications based on a randomization approach. By setting the null hypothesis as either specification, we show that …
Computer Science (2 works) · Econometrics (2 works) · Mathematics (2 works) · Monetary Policy and Economic Impact (2 works) · Statistics (2 works) · Alternative hypothesis (1 work) · Artificial Intelligence (1 work) · Autoregressive model (1 work) · Complex Systems and Time Series Analysis (1 work) · Data mining (1 work)