Least squares estimation of large dimensional threshold factor models

DOI10.1016/j.jeconom.2016.11.001zbMath1443.62175OpenAlexW3123167195MaRDI QIDQ506056

Daniele Massacci

Publication date: 30 January 2017

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

Full work available at URL: https://kclpure.kcl.ac.uk/portal/en/publications/least-squares-estimation-of-large-dimensional-threshold-factor-models(18ff4049-dfcc-4588-99c6-b4a9ee110ac9).html

zbMATH Keywords

connectednessmodel selectionlinearity testingleast squares estimationlarge threshold factor model

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 (9)

Estimation of high dimensional factor model with multiple threshold-type regime shifts ⋮ Simultaneous multiple change-point and factor analysis for high-dimensional time series ⋮ Sequential testing for structural stability in approximate 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 ⋮ Estimating and testing high dimensional factor models with multiple structural changes ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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