Testing for time-varying factor loadings in high-dimensional factor models
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Publication:5867577
DOI10.1080/07474938.2022.2074188OpenAlexW4281687521MaRDI QIDQ5867577
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
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- Statistical analysis of factor models of high dimension
- Detecting big structural breaks in large factor models
- Inference on factor structures in heterogeneous panels
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- Estimating the common break date in large factor models
- Tests of equal accuracy for nested models with estimated factors
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