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On time-varying factor models: Estimation and testing · Study

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ArticleOn time-varying factor models: Estimation and testing

Liangjun Su2017

OA

Articlebronze2017

On time-varying factor models: Estimation and testing

Liangjun Su · Xia Wang

180 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Statistical Methods and Applications Spatial and Panel Data Analysis

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References

2007Testing slope homogeneity in large panels 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 2003Inferential Theory for Factor Models of Large Dimensions 2001The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity 2009Testing Hypotheses About the Number of Factors in Large Factor Models 2004Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates

Cited by

2021Quantile Factor Models 2023Factor Momentum 2018State-Varying Factor Models of Large Dimensions 2017Estimation and Inference of Change Points in High Dimensional Factor Models 2018Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets 2019Estimation of Large Dimensional Conditional Factor Models in Finance

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2016Econometric Analysis of Large Factor Modelsreview · 9 shared references 2014Detecting big structural breaks in large factor modelsarticle · 7 shared references 2014Testing for structural stability of factor augmented forecasting modelsarticle · 7 shared references 2016Identification and estimation of a large factor model with structural instabilityarticle · 7 shared references 2010Testing for structural breaks in dynamic factor modelsarticle · 6 shared references 2018State-Varying Factor Models of Large Dimensionsarticle · 6 shared references

Details

Year2017

Typearticle

Published2017-02-20

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations180

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2016.12.004

openalex_workW789466271

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