On time-varying factor models: estimation and testing
From MaRDI portal
Publication:2294514
Recommendations
- Testing for structural changes in factor models via a nonparametric regression
- Consistent estimation of time-varying loadings in high-dimensional factor models
- Estimating and testing high dimensional factor models with multiple structural changes
- Fitting dynamic factor models to non-stationary time series
- Tests for parameter instability in dynamic factor models
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 Using Principal Components From a Large Number of Predictors
- Forecasting in dynamic factor models subject to structural instability
- 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
(57)- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Estimation and inference for high dimensional factor model with regime switching
- Long Memory Factor Model: On Estimation of Factor Memories
- On factor models with random missing: EM estimation, inference, and cross validation
- Testing for structural changes in factor models via a nonparametric regression
- scientific article; zbMATH DE number 5142517 (Why is no real title available?)
- 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
- Periodic dynamic factor models: estimation approaches and applications
- Testing against constant factor loading matrix with large panel high-frequency data
- A state-space approach to time-varying reduced-rank regression
- 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
- Robust high-dimensional alpha test for conditional time-varying factor models
- Time varying factor models with possibly strongly correlated noises
- Likelihood-based specification tests for dynamic factor models
- Specification tests for time-varying coefficient models
- Tests for the explanatory power of latent factors
- A multi-step procedure to determine the number of factors in large approximate factor models
- Mortality forecasting using factor models: time-varying or time-invariant factor loadings?
- Nonparametric factor analysis of residual time series
- Principal eigenportfolios for U.S. equities
- Statistical analysis of a class of factor time series models
- Factor stochastic volatility with time-varying loadings
- Boosting high dimensional predictive regressions with time varying parameters
- State-Varying Factor Models of Large Dimensions
- Nonparametric estimation of large covariance matrices with conditional sparsity
- 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
- Identifying latent grouped patterns in panel data models with interactive fixed effects
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Penalized time-varying model averaging
- Inference on the maximal rank of time-varying covariance matrices using high-frequency data
- Locally stationary factor models: identification and nonparametric estimation
- 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.
- 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 time-varying factor loadings in high-dimensional factor models
- 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
- 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
This page was built for publication: On time-varying factor models: estimation and testing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2294514)
