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Shrinkage estimation of high-dimensional factor models with structural instabilities

Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank - 2014

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Shrinkage estimation of high-dimensional factor models with structural instabilities

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Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities

Schorfheide, Frank; Cheng, Xu; Liao, Zhipeng - National Bureau of Economic Research (NBER) - 2014

In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break...

Persistent link: https://www.econbiz.de/10010821720