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On time-varying factor models: Estimation and testing
14 references·10 citing·41 second hop
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References

  • 2007Testing slope homogeneity in large panels6,035 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 2001The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity853 cited
  • 2009Testing Hypotheses About the Number of Factors in Large Factor Models428 cited
  • 2004Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates311 cited
  • 2008Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles275 cited
  • 1998Diffusion Indexes268 cited
  • 2009Forecasting in Dynamic Factor Models Subject to Structural Instability*248 cited
  • 2010Testing for structural breaks in dynamic factor models208 cited
  • 2012Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression203 cited
  • 2014Detecting big structural breaks in large factor models133 cited

Cited by

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  • 2021Quantile Factor Models128 cited
  • 2023Factor Momentum81 cited
  • 2018State-Varying Factor Models of Large Dimensions72 cited
  • 2017Instrumented Principal Component Analysis64 cited
  • 2017Estimation and Inference of Change Points in High Dimensional Factor Models38 cited
  • 2018Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets38 cited
  • 2019Estimation of Large Dimensional Conditional Factor Models in Finance35 cited
  • 2020TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION24 cited
  • 2019Forecasting India’s economic growth: a time-varying parameter regression approach14 cited
  • 2022Specification tests for time-varying coefficient models13 cited