Identification and estimation of a large factor model with structural instability

DOI10.1016/j.jeconom.2016.10.007zbMath1443.62173OpenAlexW2550749688MaRDI QIDQ506054

Chihwa Kao, Fa Wang, Badi H. Baltagi

Publication date: 30 January 2017

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/20449/1/Identification%20and%20estimation%20of%20a%20large%20factor%20model%20with%20structural%20instability.pdf

zbMATH Keywords

rate of convergencemodel selectionpanel datastructural changenumber of factorsfactor spacehigh-dimensional factor model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (19)

Estimation of high dimensional factor model with multiple threshold-type regime shifts ⋮ A multi-step procedure to determine the number of factors in large approximate factor models ⋮ Determining the number of breaks in large dimensional factor models with structural changes ⋮ Simultaneous multiple change-point and factor analysis for high-dimensional time series ⋮ Sequential testing for structural stability in approximate factor models ⋮ Shrinkage estimation of multiple threshold factor models ⋮ Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion ⋮ Group fused Lasso for large factor models with multiple structural breaks ⋮ Quasi-maximum likelihood estimation of break point in high-dimensional factor models ⋮ Detection of Multiple Structural Breaks in Large Covariance Matrices ⋮ The likelihood ratio test for structural changes in factor models ⋮ Editorial: Celebrating 40 years of panel data analysis: past, present and future ⋮ Estimating and testing high dimensional factor models with multiple structural changes ⋮ Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance ⋮ Estimation and inference of change points in high-dimensional factor models ⋮ On testing for structural break of coefficients in factor-augmented regression models ⋮ Estimation of large dimensional factor models with an unknown number of breaks ⋮ Testing for the null of block zero restrictions in common factor models ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

• Unnamed Item
• Detecting big structural breaks in large factor models
• Estimating the common break date in large factor models
• Common breaks in means and variances for panel data
• Testing for structural breaks in dynamic factor models
• Testing for structural stability of factor augmented forecasting models
• Consistent factor estimation in dynamic factor models with structural instability
• Eigenvalue Ratio Test for the Number of Factors
• TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
• Testing Hypotheses About the Number of Factors in Large Factor Models
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Forecasting Using Principal Components From a Large Number of Predictors
• Estimating and Testing Linear Models with Multiple Structural Changes
• Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
• Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION

This page was built for publication: Identification and estimation of a large factor model with structural instability