no code implementations • 16 Jun 2022 • Jushan Bai, Jiangtao Duan, Xu Han
This paper considers the likelihood ratio (LR) test for a variance change in the estimated factors.
no code implementations • 25 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.
no code implementations • 22 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.