Testing for time-varying factor loadings in high-dimensional factor models
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Publication:5867577
DOI10.1080/07474938.2022.2074188OpenAlexW4281687521MaRDI QIDQ5867577FDOQ5867577
Publication date: 14 September 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2022.2074188
Cites Work
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- Eigenvalue ratio test for the number of factors
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- Nonlinear system theory: Another look at dependence
- Statistical analysis of factor models of high dimension
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- Consistent factor estimation in dynamic factor models with structural instability
- TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
- Detecting big structural breaks in large factor models
- Testing for structural breaks in dynamic factor models
- Testing for factor loading structural change under common breaks
- EFFICIENT ESTIMATION OF FACTOR MODELS
- Estimating the common break date in large factor models
- TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION
- Testing for structural stability of factor augmented forecasting models
- Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
- Testing against constant factor loading matrix with large panel high-frequency data
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- Testing for parameter constancy in the time series direction in panel data models
- Likelihood analysis of seasonal cointegration
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- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
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Cited In (4)
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- 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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