On time-varying factor models: estimation and testing

DOI10.1016/J.JECONOM.2016.12.004zbMATH Open1456.62220OpenAlexW789466271MaRDI QIDQ2294514FDOQ2294514

Yanyan Li

Publication date: 11 February 2020

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.12.004

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zbMATH Keywords

factor modeltestinformation criterionstructural changelocal smoothingtime-varying parameterlocal principal component

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) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• QML estimation of dynamic panel data models with spatial errors
• Eigenvalue ratio test for the number of factors
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Convergence of stochastic processes
• Testing slope homogeneity in large panels
• Testing hypotheses about the number of factors in large factor models
• Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
• TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
• Time Series Modelling With Semiparametric Factor Dynamics
• Testing for smooth structural changes in time series models via nonparametric regression
• Trending time-varying coefficient time series models with serially correlated errors
• Title not available (Why is that?)
• Semiparametric trending panel data models with cross-sectional dependence
• Consistent factor estimation in dynamic factor models with structural instability
• TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
• Detecting big structural breaks in large factor models
• Testing for structural breaks in dynamic factor models
• Testing for factor loading structural change under common breaks
• Testing for structural stability of factor augmented forecasting models
• Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
• Shrinkage estimation of dynamic panel data models with interactive fixed effects
• Nonparametric trending regression with cross-sectional dependence
• LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION
• Nonparametric factor analysis of residual time series

Cited In (54)

• GMM estimation for high-dimensional panel data models
• Estimating and testing for smooth structural changes in moment condition models
• Testing for sparse idiosyncratic components in factor-augmented regression models
• Target PCA: transfer learning large dimensional panel data
• Estimation and inference for high dimensional factor model with regime switching
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Long Memory Factor Model: On Estimation of Factor Memories
• Principal Eigenportfolios for U.S. Equities
• On factor models with random missing: EM estimation, inference, and cross validation
• Title not available (Why is that?)
• Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
• Identification of Time-Varying Factor Models
• Testing for Trend Specifications in Panel Data Models
• Time-varying minimum variance portfolio
• Testing for structural changes in large dimensional factor models via discrete Fourier transform
• A state-space approach to time-varying reduced-rank regression
• Periodic dynamic factor models: estimation approaches and applications
• Testing against constant factor loading matrix with large panel high-frequency data
• Robust high-dimensional alpha test for conditional time-varying factor models
• Time varying factor models with possibly strongly correlated noises
• Estimation of large dimensional factor models with an unknown number of breaks
• Testing for time variation in an unobserved components model for the U.S. economy
• Specification tests for time-varying coefficient models
• Likelihood-based specification tests for dynamic factor models
• A multi-step procedure to determine the number of factors in large approximate factor models
• Nonparametric factor analysis of residual time series
• Mortality forecasting using factor models: time-varying or time-invariant factor loadings?
• Statistical analysis of a class of factor time series models
• State-Varying Factor Models of Large Dimensions
• Estimation and Inference on Time-Varying FAVAR Models
• Mixture of longitudinal factor analyzers and their application to the assessment of chronic pain
• Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
• Boosting high dimensional predictive regressions with time varying parameters
• Nonparametric estimation of large covariance matrices with conditional sparsity
• Time-varying forecast combination for factor-augmented regressions with smooth structural changes
• Identifying latent grouped patterns in panel data models with interactive fixed effects
• Penalized time-varying model averaging
• Inference on the maximal rank of time-varying covariance matrices using high-frequency data
• Covariance prediction via convex optimization
• Estimating change-point latent factor models for high-dimensional time series
• A time-varying diffusion index forecasting model
• Linear panel regressions with two-way unobserved heterogeneity
• Uniform predictive inference for factor models with instrumental and idiosyncratic betas
• Wavelet estimation for factor models with time-varying loadings
• Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
• Testing for time-varying factor loadings in high-dimensional factor 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
• Profile GMM estimation of panel data models with interactive fixed effects
• Shrinkage estimation of multiple threshold factor models
• Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data
• Estimating Number of Factors by Adjusted Eigenvalues Thresholding
• TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION

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