On time-varying factor models: estimation and testing
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Cites work
- Consistent factor estimation in dynamic factor models with structural instability
- Convergence of stochastic processes
- Detecting big structural breaks in large factor models
- Determining the Number of Factors in Approximate Factor Models
- Eigenvalue ratio test for the number of factors
- Forecasting in dynamic factor models subject to structural instability
- Forecasting Using Principal Components From a Large Number of Predictors
- Inferential Theory for Factor Models of Large Dimensions
- Linear regression for panel with unknown number of factors as interactive fixed effects
- Locally stationary factor models: identification and nonparametric estimation
- Nonparametric factor analysis of residual time series
- Nonparametric trending regression with cross-sectional dependence
- QML estimation of dynamic panel data models with spatial errors
- Semiparametric trending panel data models with cross-sectional dependence
- Shrinkage estimation of dynamic panel data models with interactive fixed effects
- Shrinkage estimation of high-dimensional factor models with structural instabilities
- Testing for factor loading structural change under common breaks
- Testing for smooth structural changes in time series models via nonparametric regression
- Testing for structural breaks in dynamic factor models
- Testing for structural stability of factor augmented forecasting models
- Testing homogeneity in panel data models with interactive fixed effects
- Testing hypotheses about the number of factors in large factor models
- Testing slope homogeneity in large panels
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests for parameter instability in dynamic factor models
- Time series modelling with semiparametric factor dynamics
- Trending time-varying coefficient time series models with serially correlated errors
Cited in
(87)- Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
- Testing for time variation in an unobserved components model for the U.S. economy
- Periodic dynamic factor models: estimation approaches and applications
- Consistent estimation of time-varying loadings in high-dimensional factor models
- Testing against constant factor loading matrix with large panel high-frequency data
- Identifying latent grouped patterns in panel data models with interactive fixed effects
- Estimation of large dimensional factor models with an unknown number of breaks
- On factor models with random missing: EM estimation, inference, and cross validation
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Mortality forecasting using factor models: time-varying or time-invariant factor loadings?
- Boosting high dimensional predictive regressions with time varying parameters
- Estimating change-point latent factor models for high-dimensional time series
- Tests for the explanatory power of latent factors
- A time-varying diffusion index forecasting model
- Statistical analysis of a class of factor time series models
- Group fused Lasso for large factor models with multiple structural breaks
- High-dimensional VARs with common factors
- Identifying latent factors based on high-frequency data
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- Likelihood-based specification tests for dynamic factor models
- Locally stationary factor models: identification and nonparametric estimation
- scientific article; zbMATH DE number 5142517 (Why is no real title available?)
- Factor stochastic volatility with time-varying loadings
- Wavelet estimation for factor models with time-varying loadings
- A multi-step procedure to determine the number of factors in large approximate factor models
- Principal eigenportfolios for U.S. equities
- Testing for structural changes in factor models via a nonparametric regression
- Time varying factor models with possibly strongly correlated noises
- A state-space approach to time-varying reduced-rank regression
- Testing for time-varying factor loadings in high-dimensional factor models
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Estimating Number of Factors by Adjusted Eigenvalues Thresholding
- Nonparametric factor analysis of residual time series
- Robust high-dimensional alpha test for conditional time-varying factor models
- Covariance prediction via convex optimization
- Linear panel regressions with two-way unobserved heterogeneity
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas
- Specification tests for time-varying coefficient models
- Profile GMM estimation of panel data models with interactive fixed effects
- Penalized time-varying model averaging
- Shrinkage estimation of multiple threshold factor models
- Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data
- Inference on the maximal rank of time-varying covariance matrices using high-frequency data
- Testing for Trend Specifications in Panel Data Models
- Identification of Time-Varying Factor Models
- Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
- Time-varying minimum variance portfolio
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Estimation and inference for high dimensional factor model with regime switching
- Long Memory Factor Model: On Estimation of Factor Memories
- State-Varying Factor Models of Large Dimensions
- Estimation and Inference on Time-Varying FAVAR Models
- Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
- Mixture of longitudinal factor analyzers and their application to the assessment of chronic pain
- Testing for sparse idiosyncratic components in factor-augmented regression models
- GMM estimation for high-dimensional panel data models
- Target PCA: transfer learning large dimensional panel data
- Estimating and testing for smooth structural changes in moment condition models
- On structurally grouped approximate factor models
- Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
- Inference for time-varying factor models under local stationarity
- Inference on matrix-valued factor models under a fixed time horizon
- A semiparametric Gaussian mixture model with spatial dependence and its application to whole-slide image clustering analysis
- Nonparametric time-varying panel data models with heterogeneity
- Making distributionally robust portfolios feasible in high dimension
- Test for serial correlation in panel data models with interactive fixed effects
- Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure
- Sieve estimation of state-varying factor models
- A robust residual-based test for structural changes in factor models
- Distinguishing Time-Varying Factor Models
- A note on factor models with latent group structures
- Inference for large dimensional factor models under general missing data patterns
- Estimation of large covariance matrices with mixed factor structures
- Estimating time-varying networks for high-dimensional time series
- Quantile prediction with factor-augmented regression: structural instability and model uncertainty
- On time-varying panel data models with time-varying interactive fixed effects
- Recurrent double-conditional factor model
- Improving estimation of portfolio risk using new statistical factors
- Modelling large dimensional datasets with Markov switching factor models
- Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects
- Estimation of grouped time-varying network vector autoregressive models
- High-dimensional conditional factor model
- Order determination of large dimensional dynamic factor model
- Covariance matrix estimation in time-varying factor models
- An Adaptive Residual-Based Test for Factor Structure
- MCA: high-dimensional modal component analysis towards the mode
- Model averaging for time-varying vector autoregressions
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