Estimation of Large Dimensional Factor Models with an Unknown Number of Breaks

Estimation of Large Dimensional Factor Models with an Unknown Number of Breaks

In this paper we study the estimation of a large dimensional factor model when the factor loadings exhibit an unknown number of changes over time. We propose a novel three-step procedure to detect the breaks if any and then identify their locations. In the first step, we divide the whole time span i...

Saved in:

書目詳細資料
Main Authors:	MA, Shujie, SU, Liangjun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2016
主題:	Break point Convergence rate Factor model Fused Lasso Group Lasso Information criterion Principal component Structural change Super-consistency Time-varying parameter Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1789 https://ink.library.smu.edu.sg/context/soe_research/article/2788/viewcontent/05_2016.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

Estimation of large dimensional factor models with an unknown number of breaks
由: MA, Shujie, et al.
出版: (2018)

Shrinkage Estimation of Regression Models with Multiple Structural Changes
由: QIAN, Junhui, et al.
出版: (2014)

Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
由: QIAN, Junhui, et al.
出版: (2016)

Panel data models with interactive fixed effects and multiple structural breaks
由: LI, Degui, et al.
出版: (2016)

Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks
由: LI, Degui, et al.
出版: (2015)

Structural change estimation in time series regressions with endogenous variables
由: QIAN, Junhui, et al.
出版: (2014)

Shrinkage estimation of dynamic panel data models with interactive fixed effects
由: LU, Xun, et al.
出版: (2015)

Shrinkage estimation of dynamic panel data models with interactive fixed effects
由: LU, Xun, et al.
出版: (2016)

Nonstationary panel models with latent group structures and cross-section dependence
由: HUANG, Wenxin, et al.
出版: (2019)

Shrinkage tuning parameter selection with a diverging number of parameters
由: Wang, H., et al.
出版: (2014)

On Time-Varying Factor Models: Estimation and Testing
由: SU, Liangjun, et al.
出版: (2015)

On Time-Varying Factor Models: Estimation and Testing
由: SU, Liangjun, et al.
出版: (2017)

Determining the number of groups in latent panel structures with an application to income and democracy
由: LU, Xun, et al.
出版: (2017)

Model Selection in Validation Sampling Data: An Asymptotic Likelihood-based LASSO Approach
由: LENG, Chenlei, et al.
出版: (2011)

STATISTICAL MODELING FOR COMPLEX FUNCTIONAL AND NETWORK TIME SERIES DATA
由: ZHANG JIEJIE
出版: (2019)

Unified LASSO estimation by least squares approximation
由: Wang, H., et al.
出版: (2014)

SPARSE FUNCTIONAL EXTENDED REDUNDANCY ANALYSIS
由: KOK BING CAI
出版: (2019)

Subset selection in regression model
由: HU XIAOLI
出版: (2010)

The heterogeneous effects of the minimum wage on employment across states
由: WANG, Wuyi, et al.
出版: (2018)

A note on the Lasso and related procedures in model selection
由: Leng, C., et al.
出版: (2014)

Identifying Latent Structures in Panel Data
由: SU, Liangjun, et al.
出版: (2014)

Identifying Latent Structures in Panel Data
由: SU, Liangjun, et al.
出版: (2013)

On general adaptive sparse principal component analysis
由: Leng, C., et al.
出版: (2014)

Model selection in validation sampling: An asymptotic likelihood-based lasso approach
由: Leng, C., et al.
出版: (2014)

Bayesian adaptive Lasso
由: Leng, C., et al.
出版: (2014)

Towards multi-semantic image annotation with graph regularized exclusive group Lasso
由: Chen, X., et al.
出版: (2013)

Estimating smooth structural change in cointegration models
由: Peter C. B. PHILLIPS,, et al.
出版: (2017)

Sparse algorithms are not stable: A no-free-lunch theorem
由: Xu, H., et al.
出版: (2014)

A penalized likelihood approach in covariance graphical model selection
由: LIN NAN
出版: (2011)

Identifying latent grouped patterns in panel data models with interactive fixed effects
由: SU, Liangjun, et al.
出版: (2018)

Sieve Estimation of Time-Varying Panel Data Models with Latent Structures
由: SU, Liangjun, et al.
出版: (2015)

Sieve estimation of time-varying panel data models with latent structures
由: SU, Liangjun, et al.
出版: (2019)

Sieve estimation of time-varying panel data models with latent structures
由: SU, Liangjun, et al.
出版: (2019)

Simultaneous estimation and variable selection in median regression using Lasso-type penalty
由: Xu, J., et al.
出版: (2014)

On bias in the estimation of structural break points
由: JIANG, Liang, et al.
出版: (2014)

EFFICIENT HESSIAN BASED ALGORITHMS FOR SOLVING SPARSE GROUP LASSO AND MULTIPLE GRAPHICAL LASSO PROBLEMS
由: ZHANG YANGJING
出版: (2019)

Joint estimation of covariance matrix via Cholesky Decomposition
由: JIANG XIAOJUN
出版: (2012)

Kinship classification by modeling facial feature heredity
由: Fang R., et al.
出版: (2018)

Adaptive semi-varying coefficient model selection
由: Hu, T., et al.
出版: (2014)

Shrinkage estimation of nonlinear models and covariance matrix
由: JIANG QIAN
出版: (2012)