Detecting big structural breaks in large factor models

DOI10.1016/J.JECONOM.2014.01.006MaRDI QIDQ469568zbMATH OpenOpenAlexFDO

Authors Juan J. Dolado, Jesús Gonzalo, Liang Chen

Publication date 11 November 2014

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2014.01.006

zbMATH Keywords

factor loadingslarge factor modelprincipal componentsstructural break

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

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• Tests for parameter instability in dynamic factor models
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses

Cited in

(57)

• Simultaneous multiple change-point and factor analysis for high-dimensional time series
• Testing for structural breaks in factor copula models
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
• On testing for structural break of coefficients in factor-augmented regression models
• Estimation of large dimensional factor models with an unknown number of breaks
• Characteristics, covariances, and structural breaks
• Nonparametric estimation of large covariance matrices with conditional sparsity
• Mortality forecasting using factor models: time-varying or time-invariant factor loadings?
• Robust test for structural instability in dynamic factor models
• Estimating change-point latent factor models for high-dimensional time series
• Sequential testing for structural stability in approximate factor models
• Estimating and testing high dimensional factor models with multiple structural changes
• Estimation and inference of change points in high-dimensional factor models
• On time-varying factor models: estimation and testing
• Testing for the null of block zero restrictions in common factor models
• Testing for structural stability of factor augmented forecasting models
• Group fused Lasso for large factor models with multiple structural breaks
• Quasi-maximum likelihood estimation of break point in high-dimensional factor models
• Testing for structural changes in large dimensional factor models via discrete Fourier transform
• Tests for parameter instability in dynamic factor models
• Testing for factor loading structural change under common breaks
• 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
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Testing for structural changes in factor models via a nonparametric regression
• Testing for time-varying factor loadings in high-dimensional factor models
• Comments on: ``Extensions of some classical methods in change point analysis
• Collective Anomaly Detection in High-Dimensional Var 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
• Change-point testing for parallel data sets with FDR control
• Detection of Multiple Structural Breaks in Large Covariance Matrices
• The likelihood ratio test for structural changes in factor models
• The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
• State-Varying Factor Models of Large Dimensions
• Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
• Online change-point detection for matrix-valued time series with latent two-way factor structure
• Estimation and Inference on Time-Varying FAVAR Models
• Changes in the span of systematic risk exposures
• Testing for sparse idiosyncratic components in factor-augmented regression models
• Reprint of: The likelihood ratio test for structural changes in factor models
• Inference for time-varying factor models under local stationarity
• How to select the number of factors in break point estimation of high-dimensional factor models?
• Spatial panel data models with structural change
• Sieve estimation of state-varying factor models
• A robust residual-based test for structural changes in factor models
• Distinguishing Time-Varying Factor Models
• When structural break meets threshold effect: factor analysis under structural instabilities
• On time-varying panel data models with time-varying interactive fixed effects
• Improving estimation of portfolio risk using new statistical factors
• Modelling large dimensional datasets with Markov switching factor models
• Determination of the number of breaks in high-dimensional factor models via cross-validation
• Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence
• An Adaptive Residual-Based Test for Factor Structure
• Testing for structural breaks in dynamic factor models
• Estimation of heterogeneous panels with structural breaks

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