Search Results for author: Jiangtao Duan

Found 3 papers, 0 papers with code

Likelihood ratio test for structural changes in factor models

no code implementations16 Jun 2022 Jushan Bai, Jiangtao Duan, Xu Han

This paper considers the likelihood ratio (LR) test for a variance change in the estimated factors.

Quasi-maximum likelihood estimation of break point in high-dimensional factor models

no code implementations25 Feb 2021 Jiangtao Duan, Jushan Bai, Xu Han

This paper estimates the break point for large-dimensional factor models with a single structural break in factor loadings at a common unknown date.

Subspace Clustering for Panel Data with Interactive Effects

no code implementations22 Sep 2019 Jiangtao Duan, Wei Gao, Hao Qu, Hon Keung Tony

The factor loadings are assumed to be in different subspaces and the subspace clustering for factor loadings are considered.

Clustering

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