Identification and estimation of a large factor model with structural instability

DOI10.1016/J.JECONOM.2016.10.007MaRDI QIDQ506054zbMATH OpenOpenAlexFDO

Authors 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

factor spacehigh-dimensional factor modelmodel selectionnumber of factorspanel datarate of convergencestructural change

Mathematics Subject Classification ID

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

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Cites work

• Common breaks in means and variances for panel data
• Consistent factor estimation in dynamic factor models with structural instability
• Detecting big structural breaks in large factor models
• Determining the Number of Factors in Approximate Factor Models
• Eigenvalue ratio test for the number of factors
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the common break date in large factor models
• Forecasting in dynamic factor models subject to structural instability
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Linear regression for panel with unknown number of factors as interactive fixed effects
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Shrinkage estimation of high-dimensional factor models with structural instabilities
• Testing for structural breaks in dynamic factor models
• Testing for structural stability of factor augmented forecasting models
• Testing hypotheses about the number of factors in large factor models
• Tests for parameter instability in dynamic factor models

Cited in

(39)

• Simultaneous multiple change-point and factor analysis for high-dimensional time series
• Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance
• On testing for structural break of coefficients in factor-augmented regression models
• Estimation of large dimensional factor models with an unknown number of breaks
• Estimating change-point latent factor models for high-dimensional time series
• Sequential testing for structural stability in approximate 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
• Estimation and inference of change points in high-dimensional factor models
• Testing for the null of block zero restrictions in common factor models
• Consistent factor estimation in dynamic factor models with structural instability
• Identification theory for high dimensional static and dynamic factor models
• Determining the number of breaks in large dimensional factor models with structural changes
• Group fused Lasso for large factor models with multiple structural breaks
• Quasi-maximum likelihood estimation of break point in high-dimensional factor models
• Shrinkage estimation of high-dimensional factor models with structural instabilities
• Estimating the common break date in large factor models
• A multi-step procedure to determine the number of factors in large approximate factor models
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Shrinkage estimation of multiple threshold factor models
• Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion
• Detection of Multiple Structural Breaks in Large Covariance Matrices
• The likelihood ratio test for structural changes in factor models
• Estimation and inference for high dimensional factor model with regime switching
• A fluctuation test for structural change detection in heterogeneous panel data models
• Online change-point detection for matrix-valued time series with latent two-way factor structure
• Changes in the span of systematic risk exposures
• Reprint of: The likelihood ratio test for structural changes in factor models
• Detection of multiple structural changes in matrix factor models
• How to select the number of factors in break point estimation of high-dimensional factor models?
• Distinguishing Time-Varying Factor Models
• Multiple change-points estimation in panel data models via SaRa
• When structural break meets threshold effect: factor analysis under structural instabilities
• Testing the Number of Common Factors by Bootstrapped Sample Covariance Matrix in High-Dimensional Factor Models
• Determination of the number of breaks in high-dimensional factor models via cross-validation
• Moving sum procedure for multiple change point detection in large factor models
• Estimation of high-dimensional matrix factor models with change points
• Estimation of high dimensional factor model with multiple threshold-type regime shifts

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