Estimation of large dimensional factor models with an unknown number of breaks

• Main Authors: MA, Shujie, SU, Liangjun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: Break point; Convergence rate; Factor model; Fused Lasso; Group Lasso; Information criterion; Principal component; Structural change; Super-consistency; Time-varying parameter; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2140; https://ink.library.smu.edu.sg/context/soe_research/article/3140/viewcontent/Estimation_of_Large_Dimensional_Factor_Models_afv.pdf; https://ink.library.smu.edu.sg/context/soe_research/article/3140/filename/0/type/additional/viewcontent/Estimation_of_Large_Dimensional_Factor_Models_mmc1.pdf
• Institution: Singapore Management University

In this paper we study the estimation of a large dimensional factor model when the factor loadingsexhibit 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 in...