EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016517651500138X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:131:y:2015:i:c:p:70-74

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-09-29
Handle: RePEc:eee:ecolet:v:131:y:2015:i:c:p:70-74