Dynamic Semiparametric Factor Model With Structural Breaks-Reference-Cited by-同舟云学术

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Dynamic Semiparametric Factor Model With Structural Breaks

Published:2020-03-19 Issue:3 Volume:39 Page:757-771
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Chen Likai¹,Wang Weining²³,Wu Wei Biao⁴

Affiliation:

1. Department of Mathematics, University of Washington at St. Louis, St. Louis, MO

2. Department of Economics and Related Studies, University of York, York, UK

3. C.A.S.E. – Center of Applied Statistics and Economics, Humboldt-Universität zu Berlin, Berlin, Germany

4. Department of Statistics, University of Chicago, Chicago, IL

Funder

DFG

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2020.1730857

Reference33 articles.

1. Tests for Parameter Instability and Structural Change With Unknown Change Point

2. Least Absolute Deviation Estimation of a Shift

3. Estimation of a Change Point in Multiple Regression Models

4. Common breaks in means and variances for panel data

5. Estimation and Inference of Change Points in High Dimensional Factor Models

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. ℓ2 inference for change points in high-dimensional time series via a Two-Way MOSUM;The Annals of Statistics;2024-04-01

2. Robust estimation of functional factor models with functional pairwise spatial signs;Computational Statistics;2024-03-13

3. Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications;Bernoulli;2022-05-01

4. High Dimensional Threshold Regression with Common Stochastic Trends;SSRN Electronic Journal;2022

5. Dimension reduction for longitudinal multivariate data by optimizing class separation of projected latent Markov models;TEST;2020-07-24

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