When structural break meets threshold effect: factor analysis under structural instabilities

DOI10.1016/J.JECONOM.2025.105972MaRDI QIDQ6969782zbMATH OpenFDO

Authors C.-C. Ma, Yundong Tu

Publication date 19 June 2025

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

zbMATH Keywords

shrinkageinformation criterionmultiple thresholdsmultiple breaksnonlinear factor models

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
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Cited in

(1)

• Inference for time-varying factor models under local stationarity

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