کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095489 1376465 2017 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Identification and estimation of a large factor model with structural instability
ترجمه فارسی عنوان
شناسایی و برآورد یک مدل فاکتور بزرگ با بی ثباتی ساختاری
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
This paper tackles the identification and estimation of a high dimensional factor model with unknown number of latent factors and a single break in the number of factors and/or factor loadings occurring at unknown common date. First, we propose a least squares estimator of the change point based on the second moments of estimated pseudo factors and show that the estimation error of the proposed estimator is Op(1). We also show that the proposed estimator has some degree of robustness to misspecification of the number of pseudo factors. With the estimated change point plugged in, consistency of the estimated number of pre and post-break factors and convergence rate of the estimated pre and post-break factor space are then established under fairly general assumptions. The finite sample performance of our estimators is investigated using Monte Carlo experiments.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 197, Issue 1, March 2017, Pages 87-100
نویسندگان
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