Least squares estimation of large dimensional threshold factor models
Year of publication: |
March 2017
|
---|---|
Authors: | Massacci, Daniele |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 197.2017, 1, p. 101-129
|
Subject: | Large threshold factor model | Least squares estimation | Model selection | Linearity testing | Connectedness | Schätztheorie | Estimation theory | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Kleinste-Quadrate-Methode | Least squares method |
-
Xiang, Jingjie, (2018)
-
Identification and estimation of a large factor model with structural instability
Baltagi, Badi H., (2016)
-
Bayesian rank selection in multivariate regression
Jiang, Bin, (2016)
- More ...
-
Unstable Diffusion Indexes: With an Application to Bond Risk Premia
Massacci, Daniele, (2019)
-
Massacci, Daniele, (2015)
-
A two-regime threshold model with conditional skewed Student t distributions for stock returns
Massacci, Daniele, (2014)
- More ...