Estimating and testing high dimensional factor models with multiple structural changes

DOI10.1016/j.jeconom.2020.04.005zbMath1464.62316OpenAlexW3005350041MaRDI QIDQ2224981

Chihwa Kao, Fa Wang, Badi H. Baltagi

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/98489/1/MPRA_paper_98489.pdf

zbMATH Keywords

model selectionpanel datafactor modelmultiple changes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Parametric estimation of long memory in factor models ⋮ Shrinkage estimation of multiple threshold factor models ⋮ Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion ⋮ Group fused Lasso for large factor models with multiple structural breaks ⋮ Detection of Multiple Structural Breaks in Large Covariance Matrices ⋮ The likelihood ratio test for structural changes in factor models ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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