Testing for time-varying factor loadings in high-dimensional factor models
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Cites work
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 3021560 (Why is no real title available?)
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- Efficient estimation of factor models
- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
- Eigenvalue ratio test for the number of factors
- Estimating the common break date in large factor models
- Estimation and inference of change points in high-dimensional factor models
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- Extreme value theory for moving average processes
- Forecasting in dynamic factor models subject to structural instability
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- Inferential Theory for Factor Models of Large Dimensions
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- Komlós-Major-Tusnády approximation under dependence
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
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- Sequential testing for structural stability in approximate factor models
- Shrinkage estimation of high-dimensional factor models with structural instabilities
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Statistical analysis of factor models of high dimension
- Testing against constant factor loading matrix with large panel high-frequency data
- Testing for factor loading structural change under common breaks
- Testing for parameter constancy in the time series direction in panel data models
- Testing for parameter instability in predictive regression models
- Testing for structural breaks in dynamic factor models
- Testing for structural changes in factor models via a nonparametric regression
- Testing for structural stability of factor augmented forecasting models
- Testing for the Constancy of Parameters Over Time
- Tests for parameter instability in dynamic factor models
- Tests of equal accuracy for nested models with estimated factors
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Cited in
(5)- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- On time-varying panel data models with time-varying interactive fixed effects
- Estimating and testing high dimensional factor models with multiple structural changes
- Robust high-dimensional alpha test for conditional time-varying factor models
- Testing for sparse idiosyncratic components in factor-augmented regression models
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