Detecting big structural breaks in large factor models

DOI10.1016/j.jeconom.2014.01.006zbMath1298.62145OpenAlexW2168344236MaRDI QIDQ469568

Jesús Gonzalo, Juan J. Dolado, Liang Chen

Publication date: 11 November 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.01.006

zbMATH Keywords

principal componentsstructural breakfactor loadingslarge factor model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Non-Markovian processes: hypothesis testing (62M07)

Related Items (31)

Simultaneous multiple change-point and factor analysis for high-dimensional time series ⋮ Sequential testing for structural stability in approximate factor models ⋮ Collective Anomaly Detection in High-Dimensional Var Models ⋮ Shrinkage estimation of multiple threshold factor models ⋮ Estimation of heterogeneous panels with structural breaks ⋮ Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion ⋮ Change-point testing for parallel data sets with FDR control ⋮ Group fused Lasso for large factor models with multiple structural breaks ⋮ Quasi-maximum likelihood estimation of break point in high-dimensional factor models ⋮ Testing for structural changes in large dimensional factor models via discrete Fourier transform ⋮ Detection of Multiple Structural Breaks in Large Covariance Matrices ⋮ The likelihood ratio test for structural changes in factor models ⋮ Testing for structural stability of factor augmented forecasting models ⋮ Estimating and testing high dimensional factor models with multiple structural changes ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ Testing for factor loading structural change under common breaks ⋮ Estimating the common break date in large factor models ⋮ Identification and estimation of a large factor model with structural instability ⋮ Least squares estimation of large dimensional threshold factor models ⋮ Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models ⋮ Nonparametric estimation of large covariance matrices with conditional sparsity ⋮ On testing for structural break of coefficients in factor-augmented regression models ⋮ Mortality forecasting using factor models: time-varying or time-invariant factor loadings? ⋮ Estimation of large dimensional factor models with an unknown number of breaks ⋮ Robust test for structural instability in dynamic factor models ⋮ On time-varying factor models: estimation and testing ⋮ Testing for the null of block zero restrictions in common factor models ⋮ Estimating change-point latent factor models for high-dimensional time series ⋮ TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION ⋮ Testing for time-varying factor loadings in high-dimensional factor models ⋮ Comments on: ``Extensions of some classical methods in change point analysis

Cites Work

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• Determining the Number of Factors in Approximate Factor Models

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