Structural Changes in High Dimensional Factor Models

Jushan Bai and Xu Han

Frontiers of Economics in China-Selected Publications from Chinese Universities, 2016, vol. 11, issue 1, 9-39

Abstract: This paper provides a survey on recent developments in structural changes for high dimensional factor models. Compared with conventional low-dimensional time series, structural changes in factor models are more complicated due to the unobservability of factors and factor loadings. The following topics are covered in this survey: the identification conditions for the structural changes in the factor loadings, different impacts of big and small breaks in factor models, tests for structural changes in the factor loadings of a specific variable, tests for structural changes in the factor loading matrix, joint tests for structural changes in the factor loadings and coefficients in factor-augmented regressions, tests for smooth changes in the factor loadings, estimation of break dates, and model selection in factor models with structural changes via the shrinkage method.

Keywords: factor models; structural changes; break date (search for similar items in EconPapers)
JEL-codes: C33 C38 C55 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (9)

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