Estimation and inference of change points in high-dimensional factor models

In this paper, we consider the estimation of break points in high-dimensional factor models where the unobserved factors are estimated by principal component analysis (PCA). The factor loading matrix is assumed to have a structural break at an unknown time. We establish the conditions under which th...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of econometrics 2020-11, Vol.219 (1), p.66-100
Hauptverfasser:	Bai, Jushan, Han, Xu, Shi, Yutang
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Asymptotic methods Break point inference Discriminant analysis Econometrics Estimating techniques High-dimensional factor models Macroeconomics Principal components analysis Securities markets Simulation Stock markets Structural changes
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!