Dynamic Semiparametric Factor Model With Structural Breaks

DOI10.1080/07350015.2020.1730857zbMath1547.62666MaRDI QIDQ6617795

Weining Wang, Wei-Biao Wu, Likai Chen

Publication date: 11 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Tests for Parameter Instability and Structural Change With Unknown Change Point
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• Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
• A Cluster Analysis Method for Grouping Means in the Analysis of Variance
• Inference of Trends in Time Series
• Testing for Change Points in Time Series
• Time Series Modelling With Semiparametric Factor Dynamics
• Detection of Multiple Structural Breaks in Multivariate Time Series
• Detecting Relevant Changes in Time Series Models
• Projected principal component analysis in factor models

Related Items (1)

\(\ell^2\) inference for change points in high-dimensional time series via a two-way MOSUM

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