Estimation of high dimensional factor model with multiple threshold-type regime shifts
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DOI: 10.1016/j.csda.2020.107153
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Cited by:
- Xialu Liu & Elynn Y. Chen, 2022. "Identification and estimation of threshold matrix‐variate factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1383-1417, September.
- Ma, Chenchen & Tu, Yundong, 2023. "Shrinkage estimation of multiple threshold factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1876-1892.
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Keywords
High dimensional factor models; Least squares estimation; Multiple regime shifts; Number of thresholds; Thresholds;All these keywords.
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