Determining the number of breaks in large dimensional factor models with structural changes
DOI10.1016/J.ECONLET.2020.109707zbMATH Open1462.62275OpenAlexW3113495244MaRDI QIDQ2659950FDOQ2659950
Authors: Yanyan Li 
Publication date: 29 March 2021
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109707
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- Estimation of large dimensional factor models with an unknown number of breaks
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sequential estimationinformation criterionstructural changeslarge dimensional factor modelsnumber of breaks
Nonparametric hypothesis testing (62G10) Factor analysis and principal components; correspondence analysis (62H25) Sequential estimation (62L12) Jump processes on discrete state spaces (60J74)
Cites Work
- Determining the Number of Factors in Approximate Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Estimating the number of change-points via Schwarz' criterion
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating the common break date in large factor models
- Shrinkage estimation of high-dimensional factor models with structural instabilities
- Identification and estimation of a large factor model with structural instability
- Estimation of large dimensional factor models with an unknown number of breaks
- Estimation and inference of change points in high-dimensional factor models
Cited In (6)
- Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion
- Estimation of large dimensional factor models with an unknown number of breaks
- Estimation and inference of change points in high-dimensional factor models
- OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
- Estimating the common break date in large factor models
- Identification and estimation of a large factor model with structural instability
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