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: C13 C3 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (19)

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

DOI: 10.1016/j.econlet.2015.03.037

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