Estimation of high dimensional factor model with multiple threshold-type regime shifts

DOI10.1016/j.csda.2020.107153OpenAlexW3112152523MaRDI QIDQ830479

N. E. Zubov

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2020.107153

zbMATH Keywords

thresholdsleast squares estimationhigh dimensional factor modelsmultiple regime shiftsnumber of thresholds

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Shrinkage estimation of multiple threshold factor models ⋮ Estimating change-point latent factor models for high-dimensional time series

Cites Work

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• Estimating the common break date in large factor models
• Identification and estimation of a large factor model with structural instability
• Least squares estimation of large dimensional threshold factor models
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• Estimation of large dimensional factor models with an unknown number of breaks
• Estimation and inference of change points in high-dimensional factor models
• Threshold factor models for high-dimensional time series
• Consistent factor estimation in dynamic factor models with structural instability
• Eigenvalue Ratio Test for the Number of Factors
• Estimating and Testing Linear Models with Multiple Structural Changes
• Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
• Determining the Number of Factors in Approximate Factor Models

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