We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass...

Using internal and public use March Current Population Survey data, we analyze trends in US income inequality (19752004). Using a multiple imputation approach where values for censored observations are imputed using draws from a Generalized Beta distribution of the Second Kind, we find that the...

The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage autoregressive models can lead to very substantial...