Identification and estimation of a large factor model with structural instability

By Badi H. Baltagi, C. Kao, Fa Wang. 2017

52 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ea40994813452dbd9aa4b3bbaa6747ad311d78f9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Shujie Ma
2. Liangjun Su
3. Yiguo Sun
4. Xun Lu
5. Xia Wang
6. Sainan Jin
7. Emir Malikov
8. Peter C. B. Phillips

In Finance

1. Liangjun Su
2. Shujie Ma
3. Halbert White
4. Tzee-Ming Huang
5. Xun Lu
6. Sessi Tokpavi
7. B. Candelon
8. László Györfi

In Statistics and Probability

1. Shujie Ma
2. Liangjun Su
3. Halbert White
4. Xun Lu
5. Tzee-Ming Huang
6. Harro Walk
7. László Györfi
8. Sessi Tokpavi

Citations in the corpus

• Estimation of large dimensional factor models with an unknown number of breaks (2018, background): “…limiting distribution of the least square estimator of a break point in factor models when the break sizes shrink to zero at an appropriate rate; Baltagi et al. (2017, 2016) consider least squares estimation of the single and multiple structural changes, respectively, in factor models based on…”