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

DOI10.1016/J.ECONLET.2020.109707zbMath1462.62275OpenAlexW3113495244MaRDI QIDQ2659950

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

information criterionsequential estimationstructural changeslarge dimensional factor modelsnumber of breaks

Mathematics Subject Classification ID

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

Related Items (1)

Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion

Cites Work

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

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