Estimation of high dimensional factor model with multiple threshold-type regime shifts

DOI10.1016/J.CSDA.2020.107153OpenAlexW3112152523MaRDI QIDQ830479FDOQ830479

Authors: N. E. Zubov 

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2020.107153

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zbMATH Keywords

least squares estimationthresholdshigh dimensional factor modelsmultiple regime shiftsnumber of thresholds

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Determining the Number of Factors in Approximate Factor Models
• Eigenvalue ratio test for the number of factors
• Title not available (Why is that?)
• Estimating and Testing Linear Models with Multiple Structural Changes
• Consistent factor estimation in dynamic factor models with structural instability
• Estimating the common break date in large factor models
• Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
• Identification and estimation of a large factor model with structural instability
• Least squares estimation of large dimensional threshold factor models
• Determining the number of factors in approximate factor models by twice K-fold cross validation
• Estimation of large dimensional factor models with an unknown number of breaks
• Estimation and inference of change points in high-dimensional factor models
• Threshold factor models for high-dimensional time series

Cited In (4)

• Factor-driven two-regime regression
• Estimating and testing high dimensional factor models with multiple structural changes
• Estimating change-point latent factor models for high-dimensional time series
• Shrinkage estimation of multiple threshold factor models

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