High Dimensional Threshold Factor Models with Common Stochastic Trends

DOI10.1080/07350015.2026.2621765MaRDI QIDQ7405269zbMATH OpenFDO

Authors Daniele Massacci, Lorenzo Trapani

Publication date 2026

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

Full work available at URL https://doi.org/10.1080/07350015.2026.2621765

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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