Estimating and testing high dimensional factor models with multiple structural changes-Reference-Cited by-同舟云学术

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Estimating and testing high dimensional factor models with multiple structural changes

Published:2021-02 Issue:2 Volume:220 Page:349-365
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Baltagi Badi H.,Kao Chihwa,Wang Fa

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference32 articles.

1. Eigenvalue ratio test for the number of factors;Ahn;Econometrica,2013

2. An Inequality for Vector-Valued Martingales and its Applications;Bai,1996

3. Inferential theory for factor models of large dimensions;Bai;Econometrica,2003

4. Panel data models with interactive fixed effects;Bai;Econometrica,2009

5. Estimation and Inference of Structural Changes in High Dimensional Factor Models;Bai,2016

Cited by 25 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. Distinguishing Time-varying Factor Models;Journal of Business & Economic Statistics;2024-08-26

2. Testing for sparse idiosyncratic components in factor-augmented regression models;Journal of Econometrics;2024-08

3. Reprint of: The likelihood ratio test for structural changes in factor models;Journal of Econometrics;2024-05

4. Estimation and inference for high dimensional factor model with regime switching;Journal of Econometrics;2024-04

5. The likelihood ratio test for structural changes in factor models;Journal of Econometrics;2024-01

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