Estimating the common break date in large factor models

被引：20

作者：

Chen, Liang ^{[1
]}

机构：

[1] Univ Oxford Nuffield Coll, Dept Econ, INET, Oxford OX1 1NF, England

来源：

ECONOMICS LETTERS | 2015年 / 131卷

关键词：

Structural break; Large factor models; Factor loadings; NUMBER;

D O I：

10.1016/j.econlet.2015.03.037

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers large dimensional factor models with structural breaks in the factor loadings at a common date. A consistent estimator for the break date is proposed. Simulation results confirm its good performance for small and moderate sample sizes. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：70 / 74

页数：5

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