Estimation of large dimensional factor models with an unknown number of breaks
Shujie Ma, Liangjun Su
| Year of publication: |
2018
|
|---|---|
| Authors: | Ma, Shujie ; Su, Liangjun |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 207.2018, 1, p. 1-29
|
| Subject: | Break point | Factor model | Fused Lasso | Group Lasso | Information criterion | Principal component | Structural change | Super-consistency | Time-varying parameter | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.06.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012116087