Robust test for structural instability in dynamic factor models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s10463-020-00773-0.pdf
Reference41 articles.
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3. Baek, C., Davis, R. A., Pipiras, V. (2018). Periodic dynamic factor models: Estimation approaches and applications. Electronic Journal of Statistics, 12(2), 4377–4411.
4. Baek, C., Gates, K. M., Leinwand, B., Pipiras, V. (2021). Two sample tests for high-dimensional autocovariances. Computational Statistics & Data Analysis, 153, 107067. https://doi.org/10.1016/j.csda.2020.107067.
5. Bai, J. (2003). Inferential theory for factor models of large dimensions. Econometrica, 71(1), 135–171.
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