| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5058532 | Economics Letters | 2015 | 5 Pages |
Abstract
â¢A consistent estimator for the common break date of the factor loadings in large dimensional factor models is proposed.â¢A modified consistent estimator is proposed when the number of factors is unknown.â¢Simulation results confirm the good performance of the estimator in finite samples.
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Liang Chen,