Estimation and inference for high dimensional factor model with regime switching
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Cites work
- Analysis of time series subject to changes in regime
- Consistent estimation of time-varying loadings in high-dimensional factor models
- Consistent factor estimation in dynamic factor models with structural instability
- Determining the Number of Factors in Approximate Factor Models
- Dynamic linear models with Markov-switching
- Estimating and testing high dimensional factor models with multiple structural changes
- Estimating turning points using large data sets
- Estimation and inference of change points in high-dimensional factor models
- Estimation of large dimensional factor models with an unknown number of breaks
- Forecasting in dynamic factor models subject to structural instability
- Forecasting the term structure of government bond yields
- Forecasting Using Principal Components From a Large Number of Predictors
- scientific article; zbMATH DE number 1964693 (Why is no real title available?)
- Identification and estimation of a large factor model with structural instability
- Inferential Theory for Factor Models of Large Dimensions
- Least squares estimation of large dimensional threshold factor models
- On time-varying factor models: estimation and testing
- Regime-switching factor models for high-dimensional time series
- Shrinkage estimation of high-dimensional factor models with structural instabilities
- Statistical analysis of factor models of high dimension
- Synchronization of cycles
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