Shrinkage estimation of high-dimensional factor models with structural instabilities
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Cited in
(54)- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Testing for common breaks in a multiple equations system
- On testing for structural break of coefficients in factor-augmented regression models
- Estimation of large dimensional factor models with an unknown number of breaks
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Sequential testing for structural stability in approximate factor models
- Estimating and testing high dimensional factor models with multiple structural changes
- Heterogeneous structural breaks in panel data models
- Estimation and inference of change points in high-dimensional factor models
- On time-varying factor models: estimation and testing
- Testing for the null of block zero restrictions in common factor models
- Variable selection in panel models with breaks
- Consistent factor estimation in dynamic factor models with structural instability
- Determining the number of breaks in large dimensional factor models with structural changes
- Estimation of panel group structure models with structural breaks in group memberships and coefficients
- Group fused Lasso for large factor models with multiple structural breaks
- Quasi-maximum likelihood estimation of break point in high-dimensional factor models
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- Identification and estimation of a large factor model with structural instability
- Least squares estimation of large dimensional threshold factor models
- Testing for structural changes in factor models via a nonparametric regression
- Testing for time-varying factor loadings in high-dimensional factor models
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Comparing forecasting performance in cross-sections
- Shrinkage estimation of multiple threshold factor models
- Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion
- Change-point testing for parallel data sets with FDR control
- Detection of Multiple Structural Breaks in Large Covariance Matrices
- The likelihood ratio test for structural changes in factor models
- Estimation and inference for high dimensional factor model with regime switching
- Inference in Sparsity-Induced Weak Factor Models
- Shrinkage Estimation of Factor Models With Global and Group-Specific Factors
- Dynamic Semiparametric Factor Model With Structural Breaks
- State-Varying Factor Models of Large Dimensions
- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Dynamic Effects of Credit Shocks in a Data-Rich Environment
- Markov-Switching Three-Pass Regression Filter
- Changes in the span of systematic risk exposures
- Reprint of: The likelihood ratio test for structural changes in factor models
- How to select the number of factors in break point estimation of high-dimensional factor models?
- Sieve estimation of state-varying factor models
- A robust residual-based test for structural changes in factor models
- Distinguishing Time-Varying Factor Models
- When structural break meets threshold effect: factor analysis under structural instabilities
- On time-varying panel data models with time-varying interactive fixed effects
- Modelling large dimensional datasets with Markov switching factor models
- Determination of the number of breaks in high-dimensional factor models via cross-validation
- Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence
- Moving sum procedure for multiple change point detection in large factor models
- Nuclear norm regularized estimation of panel regression models
- An Adaptive Residual-Based Test for Factor Structure
- Estimation of high dimensional factor model with multiple threshold-type regime shifts
- Shrinkage estimation of dynamic panel data models with interactive fixed effects
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
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