Estimation of large dimensional factor models with an unknown number of breaks
DOI10.1016/j.jeconom.2018.06.019zbMath1452.62414OpenAlexW2300519491MaRDI QIDQ1792477
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
information criterionstructural changegroup Lassofactor modelbreak pointsuper-consistencytime-varying parameterprincipal componentfused Lasso
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (16)
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