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ArticleEstimating the common break date in large factor models

Unknown author2015

Article2015

Estimating the common break date in large factor models

Unknown author

23 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Statistical Methods and Inference

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References

2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 2012Dynamic Factor Models 2008Large Dimensional Factor Analysis 2009Common breaks in means and variances for panel data 2010Testing for structural breaks in dynamic factor models 2015Estimation of heterogeneous panels with structural breaks 2014Detecting big structural breaks in large factor models

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Details

Year2015

Typearticle

Published2015-04-09

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations23

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econlet.2015.03.037

openalex_workW2081999362

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