Structural Changes in High Dimensional Factor Models
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 9-39 |
| Journal / Publication | Frontiers of Economics in China |
| Volume | 11 |
| Issue number | 1 |
| Publication status | Published - Mar 2016 |
Link(s)
Abstract
This paper provides a survey on recent developments in structural changes for high dimensional factor models. Compared with conventional low-dimensional time series, structural changes in factor models are more complicated due to the unobservability of factors and factor loadings. The following topics are covered in this survey: the identification conditions for the structural changes in the factor loadings, different impacts of big and small breaks in factor models, tests for structural changes in the factor loadings of a specific variable, tests for structural changes in the factor loading matrix, joint tests for structural changes in the factor loadings and coefficients in factor-augmented regressions, tests for smooth changes in the factor loadings, estimation of break dates, and model selection in factor models with structural changes via the shrinkage method.
Research Area(s)
- Break date, Factor models, Structural changes
Citation Format(s)
Structural Changes in High Dimensional Factor Models. / Bai, Jushan; Han, Xu.
In: Frontiers of Economics in China, Vol. 11, No. 1, 03.2016, p. 9-39.
In: Frontiers of Economics in China, Vol. 11, No. 1, 03.2016, p. 9-39.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
