Consistent factor estimation in dynamic factor models with structural instability
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Cites work
- scientific article; zbMATH DE number 3605818 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Determining the Number of Factors in Approximate Factor Models
- Forecasting Time Series Subject to Multiple Structural Breaks
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting in dynamic factor models subject to structural instability
- Infinite-dimensional VARs and factor models
- Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
- Selection of estimation window in the presence of breaks
- Small sample properties of forecasts from autoregressive models under structural breaks
- Testing for structural breaks in dynamic factor models
Cited in
(38)- Time-varying general dynamic factor models and the measurement of financial connectedness
- Estimation of high dimensional factor model with multiple threshold-type regime shifts
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Estimation and inference for high dimensional factor model with regime switching
- On testing for structural break of coefficients in factor-augmented regression models
- Testing for structural changes in factor models via a nonparametric regression
- Consistent estimation of time-varying loadings in high-dimensional factor models
- The generalized dynamic factor model consistency and rates
- Estimating and testing high dimensional factor models with multiple structural changes
- Identification of Time-Varying Factor Models
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- Estimation of large dimensional factor models with an unknown number of breaks
- Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
- Testing for structural stability of factor augmented forecasting models
- Specification tests for time-varying coefficient models
- Estimation and inference of change points in high-dimensional factor models
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- On time-varying factor models: estimation and testing
- Boosting high dimensional predictive regressions with time varying parameters
- Detecting big structural breaks in large factor models
- The likelihood ratio test for structural changes in factor models
- State-Varying Factor Models of Large Dimensions
- Estimation and Inference on Time-Varying FAVAR Models
- Dynamic Effects of Credit Shocks in a Data-Rich Environment
- Markov-Switching Three-Pass Regression Filter
- Consistency of generalized dynamic principal components in dynamic factor models
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- In search for yield? Survey-based evidence on bank risk taking
- A time-varying diffusion index forecasting model
- Wavelet estimation for factor models with time-varying loadings
- Testing for factor loading structural change under common breaks
- Sequential testing for structural stability in approximate factor models
- Group fused Lasso for large factor models with multiple structural breaks
- Testing for time-varying factor loadings 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
- Reprint of: The likelihood ratio test for structural changes in factor models
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
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