Determining the number of breaks in large dimensional factor models with structural changes

DOI10.1016/J.ECONLET.2020.109707MaRDI QIDQ2659950zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

sequential estimationinformation criterionstructural changeslarge dimensional factor modelsnumber of breaks

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Factor analysis and principal components; correspondence analysis (62H25) Sequential estimation (62L12) Jump processes on discrete state spaces (60J74)

Recommendations

• Estimation of large dimensional factor models with an unknown number of breaks
• Identification and estimation of a large factor model with structural instability
• Estimating and testing high dimensional factor models with multiple structural changes
• Estimating the common break date in large factor models
• Estimation and inference of change points in high-dimensional factor models

Cites work

• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the common break date in large factor models
• Estimating the number of change-points via Schwarz' criterion
• Estimation and inference of change points in high-dimensional factor models
• Estimation of large dimensional factor models with an unknown number of breaks
• Identification and estimation of a large factor model with structural instability
• Shrinkage estimation of high-dimensional factor models with structural instabilities

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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