Detecting common breaks in the means of high dimensional cross-dependent panels

DOI10.1093/ECTJ/UTAB028OpenAlexW3188629815MaRDI QIDQ5053110

Yuqian Zhao, Zhen-Ya Liu, Lajos Horváth, Gregory Rice

Publication date: 6 December 2022

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

Full work available at URL: https://doi.org/10.1093/ectj/utab028

zbMATH Keywords

Monte Carlo simulationasymptotic limitchange points in meanFRED-MD macroeconomic datahigh dimensional panel

Mathematics Subject Classification ID

Statistics (62-XX)

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