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Estimating the common break date in large factor models

Liang Chen

Economics Letters, 2015, vol. 131, issue C, 70-74

Abstract: 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: Structural break; Large factor models; Factor loadings (search for similar items in EconPapers)
JEL-codes: C3 C13 (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:eee:ecolet:v:131:y:2015:i:c:p:70-74