Dynamic Semiparametric Factor Model With Structural Breaks
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Cites work
- A Cluster Analysis Method for Grouping Means in the Analysis of Variance
- Common breaks in means and variances for panel data
- Convergence rates and asymptotic normality for series estimators
- Detecting relevant changes in time series models
- Detection of Multiple Structural Breaks in Multivariate Time Series
- Efficient semiparametric estimation of the Fama-French model and extensions
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimation of heterogeneous panels with structural breaks
- Estimation of large dimensional factor models with an unknown number of breaks
- Inference of Trends in Time Series
- Projected principal component analysis in factor models
- Risk patterns and correlated brain activities. Multidimensional statistical analysis of fMRI data in economic decision making study
- Shrinkage estimation of high-dimensional factor models with structural instabilities
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Testing for change points in time series
- Testing for structural breaks in factor copula models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The location of the maximum and asymmetric two-sided Brownian motion with triangular drift
- Time series modelling with semiparametric factor dynamics
- Uniform change point tests in high dimension
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