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Structural Changes in High Dimensional Factor Models

Structural Changes in High Dimensional Factor Models
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摘要 This paper provides a survey on recent developments in structural changes for high dimensional factor models. Compared with conventional low-dimensional time series, structural changes in factor models are more complicated due to the unobservability of factors and factor loadings. The following topics are covered in this survey： the identification conditions for the structural changes in the factor loadings, different impacts of big and small breaks in factor models, tests for structural changes in the factor loadings of a specific variable, tests for structural changes in the factor loading matrix, joint tests for structural changes in the factor loadings and coefficients in factor-augmented regressions, tests for smooth changes in the factor loadings, estimation of break dates, and model selection in factor models with structural changes via the shrinkage method. This paper provides a survey on recent developments in structural changes for high dimensional factor models. Compared with conventional low-dimensional time series, structural changes in factor models are more complicated due to the unobservability of factors and factor loadings. The following topics are covered in this survey： the identification conditions for the structural changes in the factor loadings, different impacts of big and small breaks in factor models, tests for structural changes in the factor loadings of a specific variable, tests for structural changes in the factor loading matrix, joint tests for structural changes in the factor loadings and coefficients in factor-augmented regressions, tests for smooth changes in the factor loadings, estimation of break dates, and model selection in factor models with structural changes via the shrinkage method.
作者 Jushan Bai Xu Han
机构地区 Department of Economics School ofFinance Department of Economics and Finance
出处 《Frontiers of Economics in China-Selected Publications from Chinese Universities》 2016年第1期9-39,共31页 中国高等学校学术文摘·经济学（英文版）
关键词 factor models structural changes break date factor models, structural changes, break date
分类号 O175.29 [理学—基础数学] P642.14 [天文地球—工程地质学]
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参考文献45

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Frontiers of Economics in China-Selected Publications from Chinese Universities
2016年 第1期

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