Estimation of high dimensional factor model with multiple threshold-type regime shifts

Jianhong Wu

Computational Statistics & Data Analysis, 2021, vol. 157, issue C

Abstract: This paper considers the estimation of high dimensional factor model with multiple threshold-type regime shifts in factor loadings. Firstly, the number of thresholds is determined by comparing the number of factors in the adjacent subintervals. Secondly, the thresholds are estimated one by one by concentrated least squares, and then the factors and loadings are obtained by the principal component method in the augmented subgroups with a single threshold. Under some regularity conditions, the consistency of these estimators can be obtained. Monte Carlo simulation results demonstrate that the proposed method has desirable performance in finite samples. A real data analysis is carried out for illustration.

Keywords: High dimensional factor models; Least squares estimation; Multiple regime shifts; Number of thresholds; Thresholds (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:157:y:2021:i:c:s0167947320302449

DOI: 10.1016/j.csda.2020.107153

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