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Identification and estimation of a large factor model with structural instability

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - 2016

Persistent link: https://www.econbiz.de/10011687505

Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - In: Econometric reviews 36 (2017) 6/9, pp. 853-882

Persistent link: https://www.econbiz.de/10011795516

Identification and estimation of a large factor model with structural instability

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - In: Journal of econometrics 197 (2017) 1, pp. 87-100

Persistent link: https://www.econbiz.de/10011818347

Estimating and Testing High Dimensional Factor Models With Multiple Structural Changes

Baltagi, Badi H. - 2020

This paper considers multiple changes in the factor loadings of a high dimensional factor model occurring at dates that are unknown but common to all subjects. Since the factors are unobservable, the problem is converted to estimating and testing structural changes in the second moments of the...

Persistent link: https://www.econbiz.de/10012842360

Estimating and testing high dimensional factor models with multiple structural changes

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - In: Journal of econometrics 220 (2021) 2, pp. 349-365

Persistent link: https://www.econbiz.de/10012618518