Group fused Lasso for large factor models with multiple structural breaks

DOI10.1016/j.jeconom.2022.02.003OpenAlexW4220945446MaRDI QIDQ2688655

Chenchen Ma, Yundong Tu

Publication date: 3 March 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.02.003

zbMATH Keywords

information criterionstructural breakshigh dimensional factor modelsgroup fused Lasso

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Penetrating sporadic return predictability

Uses Software

• factorcpt

Cites Work

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