期刊
ECONOMICS LETTERS
卷 131, 期 -, 页码 70-74出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2015.03.037
关键词
Structural break; Large factor models; Factor loadings
类别
资金
- Open Society Foundations
- Oxford Martin School
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据