The likelihood ratio test for structural changes in factor models

DOI10.1016/j.jeconom.2023.105631arXiv2206.08052MaRDI QIDQ6193072

Unnamed Author, Jiangtao Duan, Jushan Bai

Publication date: 13 February 2024

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

Full work available at URL: https://arxiv.org/abs/2206.08052

zbMATH Keywords

structural breaksLR testhigh-dimensional factor models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Detecting big structural breaks in large factor models
• Testing for factor loading structural change under common breaks
• Estimating the common break date in large factor models
• Identification and estimation of a large factor model with structural instability
• Common breaks in means and variances for panel data
• Testing for structural breaks in dynamic factor models
• Estimation and inference of dynamic structural factor models with over-identifying restrictions
• Simultaneous multiple change-point and factor analysis for high-dimensional time series
• Consistent estimation of time-varying loadings in high-dimensional factor models
• Estimation of large dimensional factor models with an unknown number of breaks
• Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
• Estimating and testing high dimensional factor models with multiple structural changes
• Estimation and inference of change points in high-dimensional factor models
• Consistent factor estimation in dynamic factor models with structural instability
• Quasi-maximum likelihood estimation of break point in high-dimensional factor models
• Eigenvalue Ratio Test for the Number of Factors
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
• Testing For and Dating Common Breaks in Multivariate Time Series
• Automatic Lag Selection in Covariance Matrix Estimation
• 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
• Testing jointly for structural changes in the error variance and coefficients of a linear regression model
• Estimating and Testing Structural Changes in Multivariate Regressions
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION

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