Quasi-maximum likelihood estimation of break point in high-dimensional factor models
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DOI: 10.1016/j.jeconom.2021.12.011
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- Jiangtao Duan & Jushan Bai & Xu Han, 2021. "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Papers 2102.12666, arXiv.org, revised Mar 2021.
References listed on IDEAS
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Citations
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Cited by:
- Matteo Barigozzi & Marc Hallin, 2023.
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2310.17278, arXiv.org, revised Jan 2024.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
- Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024.
"The likelihood ratio test for structural changes in factor models,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Jushan Bai & Jiangtao Duan & Xu Han, 2022. "Likelihood ratio test for structural changes in factor models," Papers 2206.08052, arXiv.org, revised Dec 2023.
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More about this item
Keywords
Change point estimation; Consistency; High-dimensional factor models; Nearly singular covariance matrix;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
Statistics
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