Identification and estimation of a large factor model with structural instability
Year of publication: |
March 2017
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Authors: | Baltagi, Badi H. ; Kao, Chihwa ; Wang, Fa |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 197.2017, 1, p. 87-100
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Subject: | High dimensional factor model | Structural change | Rate of convergence | Number of factors | Model selection | Factor space | Panel data | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Panel | Panel study | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory |
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