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Liang Chen

Not to be confused with: Chen Liang

Personal Details

First Name:Liang
Middle Name:
Last Name:Chen
Suffix:
RePEc Short-ID:pch1002
[This author has chosen not to make the email address public]
https://www.chenliangoxford.com

Affiliation

Department of Economics
Oxford University

Oxford, United Kingdom
http://www.economics.ox.ac.uk/
RePEc:edi:sfeixuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
  2. Chen, Liang, 2011. "Detecting big structural breaks in large factor models," UC3M Working papers. Economics we1141, Universidad Carlos III de Madrid. Departamento de Economía.

Articles

  1. Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Chen, Liang, 2011. "Detecting big structural breaks in large factor models," UC3M Working papers. Economics we1141, Universidad Carlos III de Madrid. Departamento de Economía.

    Cited by:

    1. Massacci, Daniele & Kapetanios, George, 2024. "Forecasting in factor augmented regressions under structural change," International Journal of Forecasting, Elsevier, vol. 40(1), pages 62-76.
    2. Badi Baltagi & Qu Feng & Chihwa Kao, 2019. "Structural Changes in Heterogeneous Panels with Endogenous Regressors," Center for Policy Research Working Papers 214, Center for Policy Research, Maxwell School, Syracuse University.
    3. Laurent Callot & Johannes Tang Kristensen, 2016. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 437-479, Emerald Group Publishing Limited.
    4. Jorge Lorca, 2021. "Capital Flows and Emerging Markets Fluctuations," Working Papers Central Bank of Chile 898, Central Bank of Chile.
    5. Duan, Jiangtao & Bai, Jushan & Han, Xu, 2023. "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 233(1), pages 209-236.
    6. Nektarios Aslanidis & Luke Hartigan, 2016. "Is the Assumption of Linearity in Factor Models too Strong in Practice?," Discussion Papers 2016-03, School of Economics, The University of New South Wales.
    7. Han, Xu & Inoue, Atsushi, 2015. "Tests For Parameter Instability In Dynamic Factor Models," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1117-1152, October.
    8. Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
    9. Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2020. "Macroeconomic forecasting using approximate factor models with outliers," International Journal of Forecasting, Elsevier, vol. 36(2), pages 267-291.
    10. Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2016. "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 83(4), pages 1511-1543.
    11. Badi H. Baltagi & Chihwa Kao & Fa Wang, 2016. "The Identification and Estimation of a Large Factor Model with Structural Instability," Center for Policy Research Working Papers 194, Center for Policy Research, Maxwell School, Syracuse University.
    12. Laura Mayoral & Evi Pappa, 2022. "Introduction to the special issue in honor of Juan Jose Dolado," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 1-9, May.
    13. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
    14. Hartigan, Luke & Morley, James, 2019. "A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting," Working Papers 2019-10, University of Sydney, School of Economics, revised Nov 2019.
    15. Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
    16. Massacci, Daniele, 2017. "Least squares estimation of large dimensional threshold factor models," Journal of Econometrics, Elsevier, vol. 197(1), pages 101-129.
    17. Jianqing Fan & Yuling Yan & Yuheng Zheng, 2024. "When can weak latent factors be statistically inferred?," Papers 2407.03616, arXiv.org, revised Sep 2024.
    18. Luke Hartigan & James Morley, 2018. "A Factor Model Analysis of the Effects on Inflation Targeting on the Australian Economy," RBA Annual Conference Volume (Discontinued), in: John Simon & Maxwell Sutton (ed.),Central Bank Frameworks: Evolution or Revolution?, Reserve Bank of Australia.
    19. Matteo Barigozzi & Lorenzo Trapani, 2018. "Sequential testing for structural stability in approximate factor models," Discussion Papers 18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
    20. Bai, Jushan & Han, Xu & Shi, Yutang, 2020. "Estimation and inference of change points in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 219(1), pages 66-100.
    21. Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
    22. Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," LSE Research Online Documents on Economics 88110, London School of Economics and Political Science, LSE Library.
    23. Erdenebat Bataa & Denise R.Osborn & Marianne Sensier, 2016. "China's Increasing Global Influence: Changes in International Growth Spillovers," Centre for Growth and Business Cycle Research Discussion Paper Series 221, Economics, The University of Manchester.
    24. Jaeheon Jung, 2019. "Estimating a Large Covariance Matrix in Time-varying Factor Models," Papers 1910.11965, arXiv.org.
    25. Horváth, Lajos & Rice, Gregory, 2019. "Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 138-165.
    26. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
    27. Corradi, Valentina & Swanson, Norman R., 2014. "Testing for structural stability of factor augmented forecasting models," Journal of Econometrics, Elsevier, vol. 182(1), pages 100-118.
    28. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    29. Zhou, Ruichao & Wu, Jianhong, 2023. "Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion," Economics Letters, Elsevier, vol. 232(C).
    30. Han, Chirok & Kim, Dukpa, 2020. "Testing for the null of block zero restrictions in common factor models," Economics Letters, Elsevier, vol. 188(C).
    31. Wang, Lu & Wu, Jianhong, 2022. "Estimation of high-dimensional factor models with multiple structural changes," Economic Modelling, Elsevier, vol. 108(C).
    32. Byungsoo Kim & Junmo Song & Changryong Baek, 2021. "Robust test for structural instability in dynamic factor models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 821-853, August.
    33. Aslanidis, Nektarios & Hartigan, Luke, 2021. "Is the assumption of constant factor loadings too strong in practice?," Economic Modelling, Elsevier, vol. 98(C), pages 100-108.
    34. YAMAMOTO, Yohei & 山本, 庸平 & TANAKA, Shinya & 田中, 晋也, 2013. "Testing for Factor Loading Structural Change under Common Breaks," Discussion Papers 2013-17, Graduate School of Economics, Hitotsubashi University.
    35. Jushan Bai & Jiangtao Duan & Xu Han, 2022. "Likelihood ratio test for structural changes in factor models," Papers 2206.08052, arXiv.org, revised Dec 2023.
    36. Yohei Yamamoto & Naoko Hara, 2022. "Identifying factor‐augmented vector autoregression models via changes in shock variances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 722-745, June.
    37. Chen, Sanpan & Cui, Guowei & Zhang, Jianhua, 2017. "On testing for structural break of coefficients in factor-augmented regression models," Economics Letters, Elsevier, vol. 161(C), pages 141-145.
    38. Markus Pelger & Ruoxuan Xiong, 2022. "State-Varying Factor Models of Large Dimensions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1315-1333, June.
    39. Mehmet Balcilar & Riza Demirer & Festus V. Bekun, 2021. "Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold," Mathematics, MDPI, vol. 9(8), pages 1-20, April.
    40. Baltagi, Badi H. & Feng, Qu & Kao, Chihwa, 2016. "Estimation of heterogeneous panels with structural breaks," Journal of Econometrics, Elsevier, vol. 191(1), pages 176-195.
    41. He, Lingyu & Huang, Fei & Shi, Jianjie & Yang, Yanrong, 2021. "Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 14-34.
    42. Bajraj, Gent & Lorca, Jorge & Wlasiuk, Juan M., 2023. "On foreign drivers of emerging markets fluctuations," Economic Modelling, Elsevier, vol. 129(C).
    43. Gent Bajraj & Jorge Lorca & Juan M. Wlasiuk, 2022. "On Foreign Drivers of EMEs Fluctuations," Working Papers Central Bank of Chile 951, Central Bank of Chile.
    44. Ma, Shujie & Su, Liangjun, 2018. "Estimation of large dimensional factor models with an unknown number of breaks," Journal of Econometrics, Elsevier, vol. 207(1), pages 1-29.
    45. Poncela, Pilar, 2021. "Dynamic factor models: does the specification matter?," DES - Working Papers. Statistics and Econometrics. WS 32210, Universidad Carlos III de Madrid. Departamento de Estadística.
    46. Charles Rahal, 2015. "Housing Market Forecasting with Factor Combinations," Discussion Papers 15-05, Department of Economics, University of Birmingham.
    47. Kannika Duangnate & James W. Mjelde, 2020. "Prequential forecasting in the presence of structure breaks in natural gas spot markets," Empirical Economics, Springer, vol. 59(5), pages 2363-2384, November.
    48. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
    49. Francesco Trebbi & Kairong Xiao, 2015. "Regulation and Market Liquidity," NBER Working Papers 21739, National Bureau of Economic Research, Inc.
    50. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    51. Karen Miranda & Pilar Poncela & Esther Ruiz, 2022. "Dynamic factor models: Does the specification matter?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 397-428, May.
    52. Fu, Zhonghao & Hong, Yongmiao & Wang, Xia, 2023. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," Journal of Econometrics, Elsevier, vol. 233(1), pages 302-331.
    53. Luke Hartigan, 2015. "Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?," Discussion Papers 2015-17, School of Economics, The University of New South Wales.
    54. Chen, Liang, 2015. "Estimating the common break date in large factor models," Economics Letters, Elsevier, vol. 131(C), pages 70-74.
    55. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.
    56. Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2024. "Improving Estimation of Portfolio Risk Using New Statistical Factors," Papers 2409.17182, arXiv.org.
    57. Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2016. "Estimating and testing high dimensional factor models with multiple structural changes," MPRA Paper 98489, University Library of Munich, Germany, revised 26 Jul 2019.
    58. Marek Chudý & Erhard Reschenhofer, 2019. "Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression," Econometrics, MDPI, vol. 7(4), pages 1-14, December.
    59. Lorenzo Trapani, 2014. "Comments on: Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 283-286, June.
    60. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
    61. Dalibor Stevanovic & Charles Olivier Mao Takongmo, 2014. "Selection of the number of factors in presence of structural instability: a Monte Carlo study," CIRANO Working Papers 2014s-44, CIRANO.
    62. Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
    63. 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.
    64. Cui, Junfeng & Wang, Guanghui & Zou, Changliang & Wang, Zhaojun, 2023. "Change-point testing for parallel data sets with FDR control," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
    65. Bai, Jushan & Li, Kunpeng & Lu, Lina, 2014. "Estimation and inference of FAVAR models," MPRA Paper 60960, University Library of Munich, Germany.
    66. Ma, Chenchen & Tu, Yundong, 2023. "Shrinkage estimation of multiple threshold factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1876-1892.
    67. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    68. Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021. "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, vol. 223(1), pages 53-72.
    69. Bennett, Donyetta & Mekelburg, Erik & Strauss, Jack & Williams, T.H., 2024. "Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?," Global Finance Journal, Elsevier, vol. 60(C).
    70. Ma, Chenchen & Tu, Yundong, 2023. "Group fused Lasso for large factor models with multiple structural breaks," Journal of Econometrics, Elsevier, vol. 233(1), pages 132-154.
    71. Dante Amengual & Luca Repetto, 2014. "Testing a Large Number of Hypotheses in Approximate Factor Models," Working Papers wp2014_1410, CEMFI.

Articles

  1. Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (2) 2011-06-18 2012-03-28
  2. NEP-ETS: Econometric Time Series (2) 2012-04-17 2013-11-02

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