Dynamic semiparametric factor model with structural breaks
Year of publication: |
2021
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Authors: | Chen, Likai ; Wang, Weining ; Wu, Wei Biao |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 39.2021, 3, p. 757-771
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Subject: | Change-point analysis | High-dimensional time series | Temporal and cross-sectional dependency | Vector autoregressive process | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Faktorenanalyse | Factor analysis | VAR-Modell | VAR model | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Schätzung | Estimation |
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