Quasi-maximum likelihood estimation of break point in high-dimensional factor models
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Publication:2688659
DOI10.1016/j.jeconom.2021.12.011OpenAlexW4220882529MaRDI QIDQ2688659
Jushan Bai, Jiangtao Duan, X. Han
Publication date: 3 March 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.12666
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items (3)
Detection of Multiple Structural Breaks in Large Covariance Matrices ⋮ The likelihood ratio test for structural changes in factor models ⋮ Testing for time-varying factor loadings in high-dimensional factor models
Uses Software
Cites Work
- Detecting big structural breaks in large factor models
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- Common breaks in means and variances for panel data
- Testing for structural breaks in dynamic factor models
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- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Estimation of large dimensional factor models with an unknown number of breaks
- Estimation and inference of change points in high-dimensional factor models
- Testing for the null of block zero restrictions in common factor models
- TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
- Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
- Estimating and Testing Structural Changes in Multivariate Regressions
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
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