Author: Likai ChenPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Dynamic Semiparametric Factor Model with a Common Break
Author: Likai ChenDynamic Semiparametric Factor Model with Structural Breaks
Author: Likai ChenPublisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
For change-point analysis of high dimensional time series, we consider a semiparametric model with dynamic structural break factors. The observations are described by a few low dimensional factors with time-invariate loading functions of covariates. The unknown structural break in time models the regime switching effects introduced by exogenous shocks. In particular, the factors are assumed to be nonstationary and follow a Vector Autoregression (VAR) process with a structural break. In addition, to account for the known spatial discrepancies, we introduce discrete loading functions. We study the theoretical properties of the estimates of the loading functions and the factors. Moreover, we provide both the consistency and the asymptotic convergence results for making inference on the common breakpoint in time. The estimation precision is evaluated via a simulation study. Finally we present two empirical illustrations on modeling the dynamics of the minimum wage policy in China and analyzing a limit order book dataset.
A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
Author: Matthias R. FenglerLarge Dimensional Factor Analysis
Author: Jushan BaiPublisher: Now Publishers Inc
ISBN: 1601981449
Category : Business & Economics
Languages : en
Pages : 90
Book Description
Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
Handbook of Econometrics
Author: Publisher: Elsevier
ISBN: 0444636544
Category : Business & Economics
Languages : en
Pages : 594
Book Description
Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. Presents a broader and more comprehensive view of this expanding field than any other handbook Emphasizes the connection between econometrics and economics Highlights current topics for which no good summaries exist
The Generalized Dynamic Factor Model
Author: Tests for Parameter Instability in Dynamic Factor Models
Author: Xu HanPublisher:
ISBN:
Category :
Languages : en
Pages : 67
Book Description
We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used. Based on the fact that the presence of a structural change in factor loadings yields a structural change in second moments of factors obtained from the full sample principal component estimation, we reduce the infinite-dimensional problem into a finite-dimensional one and our statistic compares the pre- and post-break subsample second moments of estimated factors. Our test is consistent under the alternative hypothesis in which a fraction of or all factor loadings have structural changes. The Monte Carlo results show that our test has good finite-sample size and power.
The Generalized Dynamic Factor Model
Author: Dynamic Factor Models
Author: Jörg BreitungPublisher:
ISBN:
Category :
Languages : en
Pages : 40
Book Description
Factor models can cope with many variables without running into scarce degrees of freedom.
Semiparametric Modeling of Implied Volatility
Author: Matthias R. FenglerPublisher: Springer Science & Business Media
ISBN: 3540305912
Category : Business & Economics
Languages : en
Pages : 232
Book Description
This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.