Structural Changes in High Dimensional Factor Models
Jushan Bai , Xu Han
Front. Econ. China ›› 2016, Vol. 11 ›› Issue (1) : 9 -39.
Structural Changes in High Dimensional Factor Models
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.
factor models / structural changes / break date
Higher Education Press and Brill
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