Related references
Note: Only part of the references are listed.Threshold factor models for high-dimensional time series
Xialu Liu et al.
JOURNAL OF ECONOMETRICS (2020)
Estimation and inference of change points in high-dimensional factor models
Jushan Bai et al.
JOURNAL OF ECONOMETRICS (2020)
Determining the number of factors in approximate factor models by twice K-fold cross validation
Jie Wei et al.
ECONOMICS LETTERS (2020)
Estimation of large dimensional factor models with an unknown number of breaks
Shujie Ma et al.
JOURNAL OF ECONOMETRICS (2018)
Identification and estimation of a large factor model with structural instability
Badi H. Baltagi et al.
JOURNAL OF ECONOMETRICS (2017)
Least squares estimation of large dimensional threshold factor models
Daniele Massacci
JOURNAL OF ECONOMETRICS (2017)
Measuring Economic Policy Uncertainty
Scott R. Baker et al.
QUARTERLY JOURNAL OF ECONOMICS (2016)
Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
Xu Cheng et al.
REVIEW OF ECONOMIC STUDIES (2016)
Estimating the common break date in large factor models
Liang Chen
ECONOMICS LETTERS (2015)
Eigenvalue Ratio Test for the Number of Factors
Seung C. Ahn et al.
ECONOMETRICA (2013)
Consistent factor estimation in dynamic factor models with structural instability
Brandon J. Bates et al.
JOURNAL OF ECONOMETRICS (2013)
Threshold autoregression in economics
Bruce E. Hansen
Statistics and Its Interface (2013)
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
Monica Billio et al.
JOURNAL OF FINANCIAL ECONOMICS (2012)
Determining the number of factors in approximate factor models
JS Bai et al.
ECONOMETRICA (2002)