Threshold factor models for high-dimensional time series

We consider a threshold factor model for high-dimensional time series in which the dynamics of the time series is assumed to switch between different regimes according to the value of a threshold variable. This is an extension of threshold modeling to a high-dimensional time series setting under a f...

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Veröffentlicht in:	Journal of econometrics 2020-05, Vol.216 (1), p.53-70
Hauptverfasser:	Liu, Xialu, Chen, Rong
Format:	Artikel
Sprache:	eng
Schlagworte:	Change agents Estimating techniques Factor model Flexibility High-dimensional time series Mathematical models Matrices Mechanical properties Non-stationary process Switching Threshold variable Time series
Online-Zugang:	Volltext
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