Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
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https://www.nber.org/papers/w19792
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资源简介：
In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break factors,
提供机构：
美国国家经济研究局
创建时间：
2014-01-01
