Estimation of large dimensional factor models with an unknown number of breaks

DOI10.1016/J.JECONOM.2018.06.019MaRDI QIDQ1792477zbMATH OpenOpenAlexFDO

Authors Shujie Ma, Liangjun Su

Publication date 12 October 2018

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

Full work available at URL https://ink.library.smu.edu.sg/soe_research/1789

zbMATH Keywords

factor modelgroup Lassoinformation criterionstructural changebreak pointsuper-consistencytime-varying parameterprincipal componentfused Lasso

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 2161246 (Why is no real title available?)
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• Asymptotics of the principal components estimator of large factor models with weakly influential factors
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• Determining the Number of Factors in the General Dynamic Factor Model
• Distributed optimization and statistical learning via the alternating direction method of multipliers
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the common break date in large factor models
• Factor modeling for high-dimensional time series: inference for the number of factors
• Forecasting Using Principal Components From a Large Number of Predictors
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• Identification and estimation of a large factor model with structural instability
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• Risks of large portfolios
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• Shrinkage estimation of high-dimensional factor models with structural instabilities
• Shrinkage estimation of regression models with multiple structural changes
• Sparsity and Smoothness Via the Fused Lasso
• Statistical analysis of factor models of high dimension
• Testing for factor loading structural change under common breaks
• Testing for structural breaks in dynamic factor models
• Testing for structural stability of factor augmented forecasting models
• Tests for parameter instability in dynamic factor models
• The Adaptive Lasso and Its Oracle Properties
• The Generalized Dynamic Factor Model
• Theory and methods of panel data models with interactive effects

Cited in

(26)

• Dynamic Semiparametric Factor Model With Structural Breaks
• 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
• Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion
• Testing for structural changes in factor models via a nonparametric regression
• Shrinkage estimation of high-dimensional factor models with structural instabilities
• Estimating and testing high dimensional factor models with multiple structural changes
• Modelling breaks and clusters in the steady states of macroeconomic variables
• Estimation and inference of change points in high-dimensional factor models
• Detection of Multiple Structural Breaks in Large Covariance Matrices
• 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
• Nonparametric estimation of large covariance matrices with conditional sparsity
• Determining the number of breaks in large dimensional factor models with structural changes
• Estimating change-point latent factor models for high-dimensional time series
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Group fused Lasso for large factor models with multiple structural breaks
• Quasi-maximum likelihood estimation of break point in high-dimensional factor models
• Estimating the common break date in large factor models
• Testing for time-varying factor loadings in high-dimensional factor models
• Shrinkage estimation of multiple threshold factor models
• Identification and estimation of a large factor model with structural instability
• 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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