Estimating the common break date in large factor models
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Publication:500594
DOI10.1016/j.econlet.2015.03.037zbMath1381.62141OpenAlexW2081999362MaRDI QIDQ500594
Publication date: 5 October 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2015.03.037
Related Items (13)
Estimation of high dimensional factor model with multiple threshold-type regime shifts ⋮ Determining the number of breaks in large dimensional factor models with structural changes ⋮ 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 ⋮ Quasi-maximum likelihood estimation of break point in high-dimensional factor models ⋮ The likelihood ratio test for structural changes in factor models ⋮ Estimating and testing high dimensional factor models with multiple structural changes ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ Identification and estimation of a large factor model with structural instability ⋮ Least squares estimation of large dimensional threshold factor models ⋮ Estimation of large dimensional factor models with an unknown number of breaks ⋮ Testing for time-varying factor loadings in high-dimensional factor models ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
Cites Work
- Detecting big structural breaks in large factor models
- Common breaks in means and variances for panel data
- Testing for structural breaks in dynamic factor models
- Eigenvalue Ratio Test for the Number of Factors
- TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
- Determining the Number of Factors in Approximate Factor Models
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