Determination of the Number of Breaks in High-Dimensional Factor Models via Cross-Validation

Zhou Ruichao, Wang Lu and Wu Jianhong ()
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Zhou Ruichao: Shanghai Normal University, Shanghai 200234, China
Wang Lu: Huanghuai University, Zhumadian 463000, China
Wu Jianhong: Shanghai Normal University, Shanghai 200234, China

Studies in Nonlinear Dynamics & Econometrics, 2024, vol. 28, issue 5, 739-750

Abstract: This paper proposes a cross-validation method to estimate the number of breaks in high-dimensional factor models. To preserve the original change structure, the parity-splitting strategy is adopted when employing the cross-validation method. The consistency of the estimator is established under some mild conditions. Simulation results show desired finite sample performance of the proposed method, especially in comparison with methods that need to predetermine the tuning parameters.

Keywords: cross-validation; high-dimensional factor models; structural changes; the number of breaks (search for similar items in EconPapers)
JEL-codes: C1 C13 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1515/snde-2022-0037

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