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When structural break meets threshold effect: Factor analysis under structural instabilities

题目When structural break meets threshold effect: Factor analysis under structural instabilities
作者Ma, Chenchen Tu, Yundong
作者单位Chinese Acad Sci, Acad Math & Syst Sci, Ctr Forecasting Sci, Beijing, Peoples R China Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China
关键词：DIMENSIONAL FACTOR MODELS LEAST-SQUARES ESTIMATION LIKELIHOOD-ESTIMATION SHRINKAGE ESTIMATION INFERENCE REGRESSION NUMBER
时间：2025年5月1日
出版者：JOURNAL OF ECONOMETRICS
摘要Structural instability has been one of the central research questions in economics and finance over many decades. This paper systematically investigates structural instabilities in high dimensional factor models, which portray both structural breaks and threshold effects simultaneously. The observed high dimensional time series are concatenated at an unknown number of break points, while they are described by multiple threshold factor models that are heterogeneous between any two consecutive subsamples. Both joint and sequential procedures for estimating the break points are developed based on the second moment of the pseudo factor estimates that fully ignore the structural instabilities. In each separated subsample, the group Lasso approach recently proposed by Ma and Tu (2023b) is adopted to efficiently identify the threshold factor structure. An information criterion is further proposed to determine the number of break points, which also serves the purpose to distinguish the two types of instabilities. Theoretical properties of the proposed estimators are established, and their finite sample performance is evaluated in Monte Carlo simulations. An empirical application to the U.S. financial market dataset demonstrates the consequences when structural break meets threshold effect in factor analysis.
URLhttp://hdl.handle.net/20.500.11897/740582
ISSN0304-4076
DOI10.1016/j.jeconom.2025.105972
收录情况SCI(E) SSCI
作者单位 Chinese Acad Sci, Acad Math & Syst Sci, Ctr Forecasting Sci, Beijing, Peoples R China Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China 时间 2025年5月1日
出版者 JOURNAL OF ECONOMETRICS URL http://hdl.handle.net/20.500.11897/740582
ISSN 0304-4076 DOI 10.1016/j.jeconom.2025.105972
收录情况 SCI(E) SSCI 分类
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