This paper studies large dimensional factor models with threshold-type regime shifts in the loadings. We estimate the threshold by concentrated least squares, and factors and loadings by principal components. The estimator for the threshold is super consistent, with convergence rate that depends...

In this paper, we introduce a methodology that allows for imposing views on density forecasts of a (frequency domain) factor based time series model. Such a model produces a density forecast for the future evolution of economic and financial variables such as interest rates, asset returns and...