We introduce a high-dimensional factor model with time-varying loadings. We cover both stationary and nonstationary factors to increase the possibilities of applications. We propose an estimation procedure based on two stages. First, we estimate common factors by principal components. In the second step, considering the estimated factors as observed, the time-varying loadings are estimated by an iterative generalized least squares procedure using wavelet functions. We investigate the finite sample features by some Monte Carlo simulations. Finally, we apply the model to study the Nord Pool power market's electricity prices and loads.
翻译：我们引入了具有时间变化式装载的高维要素模型, 我们覆盖固定和非固定因素, 以增加应用的可能性。 我们提出基于两个阶段的估算程序。 首先, 我们按主要组成部分估算共同因素。 第二步, 考虑到所观察到的估计因素, 时间变化式装载是使用波子函数的迭代通用最小方块程序估算的。 我们通过一些蒙特卡洛模拟来调查有限的样本特征。 最后, 我们运用该模型来研究诺德普尔电力市场的电价和载荷。
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